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- W2024162024 abstract "This paper develops an axiomatic framework for option valuation when option payoffs are not spanned by spot and bond prices. This framework extends the parametric ‘risk neutral valuation’ results of Rubinstein (1976) and Brennan (1979) to general distributions. The valuation relationship preserves the divisibility properties of distributions. So by using infinitely divisible distributions the theory easily extends to continuous-time processes with independent increments. This assumption guarantees the existence and uniqueness of the desired path-independent measure. Existence merely requires one of the tails of the (continuously compounded) stock return distribution to be exponentially bounded. Continuity at a single point guarantees uniqueness. This paper illustrates the valuation technique with negative-binomial and inverse-binomial generalizations of Cox et al.'s (1979) binomial model. The continuous-time (gamma and inverse Gaussian) limits of these models generalize the Black–Scholes (1973) formula b..." @default.
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- W2024162024 date "2004-10-01" @default.
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- W2024162024 title "Option valuation with infinitely divisible distributions" @default.
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