  The price of a stock will rarely follow the assumed model and a curious
investor or a Regulatory Authority may wish to obtain a probability model the
prices support. A risk neutral probability ${\cal P}^*$ for the stock's price
at time $T$ is determined in closed form from the prices before $T$ without
assuming a price model. The findings indicate that ${\cal P}^*$ may be a
mixture. Under mild conditions on the prices the necessary and sufficient
condition to obtain ${\cal P}^*$ is the coincidence at $T$ of the stock price
ranges assumed by the stock's trader and buyer. This result clarifies the
relation between market's informational efficiency and the arbitrage-free
option pricing methodology. It also shows that in an incomplete market there
are risk neutral probabilities not supported by each stock and their use can be
limited. ${\cal P}^*$-price $C$ for the stock's European call option expiring
at $T$ is obtained. Among other results it is shown for "calm" prices, like the
log-normal, that i) $C$ is the Black-Scholes-Merton price thus confirming its
validity for various stock prices, ii) the buyer's price carries an
exponentially increasing volatility premium and its difference with $C$
provides a measure of the market risk premium.
