Abstract
Einstein once built a theory by postulating that the speed of light was the same in all frames of reference. I propose to build a theory of the market in which the price of the underlying, and the price of the derivative, although numerically different, are of the same nature.
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Notes
See Rama Cont, Jose da Fonseca and Valdo Durrleman, Stochastic models of implied volatility surfaces, Economic Notes, 31 (2), 2002, 361–377.
Riccardo Rebonato, Volatility and Correlation: The Perfect Hedger and the Fox, second edition (Chichester: John Wiley & Sons Ltd, 2004).
J. Michael Harrison and Stanley R. Pliska, Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes and their Applications, 11, 1981, 215–260.
Tomas Björk, Arbitrage Theory in Continuous Time (Oxford: Oxford University Press, 2009).
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© 2015 Elie Ayache
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Ayache, E. (2015). Denouement: The Theory after the Two Narratives. In: The Medium of Contingency. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-137-28656-7_17
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DOI: https://doi.org/10.1007/978-1-137-28656-7_17
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