A new market model in the large volatility case

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

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5 pages

Scientific paper

We will compare three types of prices, namely, rational (hedging) prices,
geometric (growth rate) prices, and martingale (measure) prices. We will show
that rational prices in the complete market theory are sometimes contrary to
common sense. In the continuous-time case, we insist that the market model
should differ between the small volatility case and the large volatility case.

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