منابع مشابه
Hedging contingent claims on semimartingales
This paper extends the known results on the equivalence between market completeness and the uniqueness of martingale measures for finite asset economies, to the infinite asset case. Our arguments employ results from the theory of linear operators between locally convex topological vector spaces. This theory of linear operators provides an operational approach to the issue of completeness and un...
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We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process is a positive continuous semimartingale, we superreplicate and subreplicate variance options and forward-starting variance options, by dynamically trading the underlying asset, and statically holding European options. W...
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We show that pricing a big class of relevant options by hedging and noarbitrage can be extended beyond semimartingale models. To this end we construct a subclass of self-financing portfolios that contains hedges for these options, but does not contain arbitrage opportunities, even if the stock price process is a nonsemimartingale of some special type. Moreover, we show that the option prices de...
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Standard derivative pricing theory is based on the assumption of agents acting as price takers on the market for the underlying asset. We relax this hypothesis and study if and how a large agent whose trades move prices can replicate the payoff of a derivative security. Our analysis extends prior work of Jarrow to economies with continuous security trading. We characterize the solution to the h...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1991
ISSN: 0304-4149
DOI: 10.1016/0304-4149(91)90053-f