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Option pricing in a world with arbitrage(2000)
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Find related articles from these CiteULike users Find related articles with these CiteULike tags AbstractWe discuss option pricing problems under a new model of stock fluctuations. This model captures the information distribution among investors by adjoining a hidden Markov process to the Black-Scholes exponential Brownian motion model. We provide new valuations for various standard hedge options, such as European, perpetual American and look-back options.
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