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- W4300577420 abstract "This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy (2009) and related to the recent contribution Carmona and Nadtochiy (2012) by the same authors, the key parametrisation of our approach involves time-inhomogeneous L'evy processes instead of local volatility models. We provide necessary and sufficient conditions for absence of arbitrage. Moreover we discuss the construction of arbitrage-free models. Specifically, we prove their existence and uniqueness given basic building blocks." @default.
- W4300577420 created "2022-10-03" @default.
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- W4300577420 date "2013-05-24" @default.
- W4300577420 modified "2023-09-23" @default.
- W4300577420 title "On a Heath-Jarrow-Morton approach for stock options" @default.
- W4300577420 doi "https://doi.org/10.48550/arxiv.1305.5621" @default.
- W4300577420 hasPublicationYear "2013" @default.
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