Over the counter, how would you price a put option, say? We know the formula, but the formula requires a risk-neutral volatility, decided by a market that doesn't exist. If two fellas, A and B, want to trade this option, how do they agree on a price?? We can come up with all kinds of fancy vol models, but ultimately they depend on parameters that we need to calibrate to a market that isn't there. WE are the market.