1 1 M ar 2 00 8 A new market model in the large volatility case

  • YUKIO HIRASHITA
  • Published 2008

Abstract

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 (σ/2 ≤ r) and the large volatility case (r < σ/2). 2000 Mathematics Subject Classification: primary 91B24; secondary 91B28.

Cite this paper

@inproceedings{HIRASHITA200811M, title={1 1 M ar 2 00 8 A new market model in the large volatility case}, author={YUKIO HIRASHITA}, year={2008} }