Option valuation with infinitely divisible distributions
提出了一个公理化框架，用于在期权收益不能被现货和债券价格完全复制时进行期权定价，将风险中性定价推广到一般分布，并利用无限可分分布扩展到连续时间过程，通过负二项和逆二项模型推广了Cox等人的二项模型，其连续时间极限（伽马和逆高斯过程）通过引入偏度参数推广了Black-Scholes公式。
This paper develops an axiomatic framework for option valuation when option payoffs ar not spanned by spot and bond prices. This framework extends the parametric 'risk neutral valuation' results of rubinstein (1976) and brennan (1979) to general distributions. The valuation relationship preserves the divisibility properties of distributions. So by using infinitely divisible distributions the theory easily extends to continuous-time processes with independent increments. This paper illustrates the valuation technique with negative-binomial and inverse-binomial generalizations of Cox et al.'s (1979) binomial model. The Continuous-time (gamma and inverse Gaussian) limits of these models generalize the Black-Scholes (1973) formula by incorporating an extra skewness parameter. The continuous-time examples include an infinite variance stable process of the type used by Mandelbrot (1963, 1966) and McCulloch (1987). The valuation theory extends to Americal options and other path-dependent claims.