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Realized variance option and options on quadratic variation normalized to unit expectation are analyzed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk neutral densities are said to be increasing in the convex order. For Lévy...
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For longer horizons, assuming no dividend distributions, equilibrium models for discounted stock prices are formulated as conditional expectations of nontrivial terminal random variables defined at infinity. Observing that extant models fail to have this property, new models are proposed. The...
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A positive spot rate model driven by a gamma process and correlated to equity is introduced and calibrated via closed forms for the joint characteristic function for the rate r, its integral y and the logarithm of the stock price s under the T-forward measure. The law of the triple (r,y,s) is...
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