A new market model in the large volatility case

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dc.creatorHirashita, Yukio
dc.date2008-03-11
dc.date.accessioned2026-07-07T12:05:43Z
dc.date.available2026-07-07T12:05:43Z
dc.descriptionWe 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.
dc.description5 pages
dc.identifierhttps://arxiv.org/abs/0803.1589
dc.identifierhttp://arxiv.org/abs/0803.1589
dc.identifierFar East Journal of Applied Mathematics 32 (2008), 13-20.
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208452
dc.subjectPricing of Securities
dc.subjectOptimization and Control
dc.subject91B24, 91B28
dc.titleA new market model in the large volatility case
dc.typetext

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