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- W2261139794 abstract "We reconsider the replication problem for contingent claims in a complete market under a general framework. Since there are various limitations in the Black-Scholes pricing formula, we propose a new method to obtain an explicit self-financing trading strategy expression for replications of claims in a general model. The departure of our method from the literature is, using an orthogonal expansion of a process related to the proposed trading strategy, we can construct a complete orthonormal basis for the space of cumulative gains in the complete market so that every self-financing strategy can be expressed as a combination of the basis. Hence, a replication strategy is obtained for a European option. Converse to the traditional Black-Scholes theory, we derive a pricing formula for a European option from the proposed replication strategy that is quite different from the Black-Scholes pricing formula. We then provide an implementation procedure to show how the proposed trading strategy works in practice and then compare with a replication strategy based on the Black-Scholes theory." @default.
- W2261139794 created "2016-06-24" @default.
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- W2261139794 date "2012-01-01" @default.
- W2261139794 modified "2023-09-28" @default.
- W2261139794 title "Solving Replication Problems in Complete Market by Orthogonal Series Expansion" @default.
- W2261139794 cites W2034413077 @default.
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- W2261139794 doi "https://doi.org/10.2139/ssrn.2027264" @default.
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