Bounds for the range of American contingent claim prices in the jump-diffusion model

• Autorzy: Aleksander Janicki , Jacek Wybraniec
• Języki publikacji: EN

Abstrakty

EN

The problem of valuation of American contingent claims for a jump-diffusion market model is considered. Financial assets are described by stochastic differential equations driven by Gaussian and Poisson random measures. In such setting the money market is incomplete, thus contingent claim prices are not uniquely defined. For different equivalent martingale measures different arbitrage free prices can be derived. The problem is to find exact bounds for the set of all possible prices obtained in this way. The paper extends and improves some results of [BJ00].

Kategorie tematyczne

• 60H10: Stochastic ordinary differential equations
• 60J65: Brownian motion
• 60J75: Jump processes

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2005
• Tom: 32
• Numer: 1
• Strony: 103-118

Daty

wydano

2005

Twórcy

autor

Aleksander Janicki

• Mathematical Institute, University of Wrocław, 50-384 Wrocław, Poland

autor

Jacek Wybraniec

• Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

Identyfikatory

DOI

10.4064/am32-1-8