This research article provides criticism and arguments why the canonical framework for derivatives pricing is … resulting pricing equation for derivatives and, in particular, the formula for European call options is then shown to depend … generally different fair values for financial derivatives compared to the Black-Scholes model. In particular, the present model …

problem of endogenous completeness in financial economics we present conditions which guarantee that every local martingale … under Q is a stochastic integral with respect to the J-dimensional martingale St≜EQ[ψ|Ft]. While the drift b=b(t,x) and the …