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

Aleksander Janicki; Jacek Wybraniec

Applicationes Mathematicae (2005)

  • Volume: 32, Issue: 1, page 103-118
  • ISSN: 1233-7234

Abstract

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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].

How to cite

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Aleksander Janicki, and Jacek Wybraniec. "Bounds for the range of American contingent claim prices in the jump-diffusion model." Applicationes Mathematicae 32.1 (2005): 103-118. <http://eudml.org/doc/279058>.

@article{AleksanderJanicki2005,
abstract = {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].},
author = {Aleksander Janicki, Jacek Wybraniec},
journal = {Applicationes Mathematicae},
keywords = {American option valuation; jump-diffusion market model; equivalent martingale measures; optimal stopping time problem},
language = {eng},
number = {1},
pages = {103-118},
title = {Bounds for the range of American contingent claim prices in the jump-diffusion model},
url = {http://eudml.org/doc/279058},
volume = {32},
year = {2005},
}

TY - JOUR
AU - Aleksander Janicki
AU - Jacek Wybraniec
TI - Bounds for the range of American contingent claim prices in the jump-diffusion model
JO - Applicationes Mathematicae
PY - 2005
VL - 32
IS - 1
SP - 103
EP - 118
AB - 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].
LA - eng
KW - American option valuation; jump-diffusion market model; equivalent martingale measures; optimal stopping time problem
UR - http://eudml.org/doc/279058
ER -

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