  We introduce and discuss a general criterion for the derivative pricing in
the general situation of incomplete markets, we refer to it as the No Almost
Sure Arbitrage Principle. This approach is based on the theory of optimal
strategy in repeated multiplicative games originally introduced by Kelly. As
particular cases we obtain the Cox-Ross-Rubinstein and Black-Scholes in the
complete markets case and the Schweizer and Bouchaud-Sornette as a quadratic
approximation of our prescription. Technical and numerical aspects for the
practical option pricing, as large deviation theory approximation and Monte
Carlo computation are discussed in detail.
