No-arbitrage pricing beyond semimartingales
نویسندگان
چکیده
We show how no-arbitrage pricing can be extended to some non-semimartingale models by restricting the class of admissible strategies. However, this restricted class is big enough to cover hedges for relevant options. Moreover, we show that the hedging prices depend essentially only on a path property of the stock price process, viz. on the quadratic variation. As a consequence, we can incorporate many stylized facts to a pricing model without changing the option prices.
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