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The dynamics of the underlying stock process are obviously crucial to the derivative's price. Thus if you don't necessarily assume $S_t$ to be log normally distributed (B&S-Model) you won't get the same price even if the market is arbitrage free. Example: Assume $S_t=C$ $ \forall t \in \mathbb{R}^+$ and $r=0$. Thus $S_t$ is constant and the interest ...



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