English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

This paper aims at transferring the philosophy behind Heath-Jarrow-Morton tothe modelling of call options with all strikes and maturities. Contrary to theapproach by Carmona and Nadtochiy (2009) and related to the recent contributionCarmona and Nadtochiy (2012) by the same authors, the key parametrisation ofour approach involves time-inhomogeneous L\'evy processes instead of localvolatility models. We provide necessary and sufficient conditions for absenceof arbitrage. Moreover we discuss the construction of arbitrage-free models.Specifically, we prove their existence and uniqueness given basic buildingblocks.

On a Heath-Jarrow-Morton approach for stock options