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摘要翻译：
我们将比较三类价格，即理性（套期保值）价格、几何（增长率）价格和鞅（度量）价格。我们将表明，完全市场理论中的理性价格有时是违背常识的。在连续时间情形下，我们坚持认为市场模型应该在小波动性情形和大波动性情形之间有所区别。
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英文标题：
《A new market model in the large volatility case》
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作者：
Yukio Hira*****a
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
We will compare three types of prices, namely, rational (hedging) prices, geometric (growth rate) prices, and martingale (measure) prices. We will show that rational prices in the complete market theory are sometimes contrary to common sense. In the continuous-time case, we insist that the market model should differ between the small volatility case and the large volatility case.
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PDF链接：
https://arxiv.org/pdf/0803.1589
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