摘要翻译：
本文旨在将Heath-Jarrow-Morton理论应用于所有罢工和到期日看涨期权的建模。与Carmona和Nadtochiy(2009)的方法相反，并与Carmona和Nadtochiy(2012)最近的贡献有关，我们方法的关键参数涉及时间非齐次L\'evy过程而不是局部波动模型。我们给出了不存在套利的充要条件。此外，我们还讨论了无套利模型的构造。具体来说，给出了它们的基本构造块，证明了它们的存在唯一性。
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英文标题：
《On a Heath-Jarrow-Morton approach for stock options》
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作者：
Jan Kallsen, Paul Kr\"uhner
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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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英文摘要：
  This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy (2009) and related to the recent contribution Carmona and Nadtochiy (2012) by the same authors, the key parametrisation of our approach involves time-inhomogeneous L\'evy processes instead of local volatility models. We provide necessary and sufficient conditions for absence of arbitrage. Moreover we discuss the construction of arbitrage-free models. Specifically, we prove their existence and uniqueness given basic building blocks.
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PDF链接：
https://arxiv.org/pdf/1305.5621