News Summary

• This post is a follow-up to my previous posts on semi-parametric option pricing.
• A link to the study (accepted for presentation at the osQF 2026 conference) is provided at the end of this post.
• In this study, we build an empirical pricing measure for options directly from their underlying’s historical dynamics, requiring no market of option prices to calibrate against.
• Because the construction requires no option-market input at any stage, it extends naturally to path-dependent payoffs.