摘要翻译：
研究了完备局部鞅模型的一种新的定价算子。新的定价运营商保证对模型价格持有看跌平价，并保证远期合约的价值与买入持有策略相匹配，即使标的遵循严格的局部鞅动力学。更确切地说，我们讨论了当底层仅为局部鞅模型（如汇率）时，货币变化技术的一种变化。新的定价算子根据超复制策略的最小成本为未定权益分配价格，超复制策略对两种货币都以概率1成功，为Num\'eraire。在这种情况下，我们把汇率不具有鞅性质解释为一种反映，即货币相对于资产货币完全贬值的可能性（恶性通货膨胀）。
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英文标题：
《On the Hedging of Options On Exploding Exchange Rates》
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作者：
Peter Carr, Travis Fisher, Johannes Ruf
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最新提交年份：
2013
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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：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a change of num\'eraire (change of currency) technique when the underlying is only a local martingale modelling for example an exchange rate. The new pricing operator assigns prices to contingent claims according to the minimal cost for superreplication strategies that succeed with probability one for both currencies as num\'eraire. Within this context, we interpret the lack of the martingale property of an exchange-rate as a reflection of the possibility that the num\'eraire currency may devalue completely against the asset currency (hyperinflation).
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PDF链接：
https://arxiv.org/pdf/1202.6188