  Proof that under simple assumptions, such as constraints of Put-Call Parity,
the probability measure for the valuation of a European option has the mean
derived from the forward price which can, but does not have to be the
risk-neutral one, under any general probability distribution, bypassing the
Black-Scholes-Merton dynamic hedging argument, and without the requirement of
complete markets and other strong assumptions. We confirm that the heuristics
used by traders for centuries are both more robust, more consistent, and more
rigorous than held in the economics literature. We also show that options can
be priced using infinite variance (finite mean) distributions.
