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- W3141544927 abstract "I introduce a new model class driven by a certain transformation of fractional Lévy processes with an additional jump part. Not only am I able to show that these models are free of arbitrage and allow for an explicit measure change to an equivalent martingale measure, but they also contain the Black-Scholes setting as a special case. Therefore, this fractional model class can be viewed as a natural no-arbitrage extension of the classical setup. <b>TOPICS:</b>Statistical methods, derivatives, options <b>Key Findings</b> ▪ I present a model class driven by (a transformation of) fractional Lévy processes, which still fits into the classical semimartingale framework. ▪ Derivative prices are discounted conditional expectations with respect to the driving fractional Lévy processes. ▪ The classical Black-Scholes and Merton models are nested within the presented framework." @default.
- W3141544927 created "2021-04-13" @default.
- W3141544927 creator A5070180183 @default.
- W3141544927 date "2021-03-25" @default.
- W3141544927 modified "2023-10-16" @default.
- W3141544927 title "An Arbitrage-Free Real-World Model for Fractional Option Prices" @default.
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- W3141544927 doi "https://doi.org/10.3905/jod.2021.1.128" @default.
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