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Incompleteness of markets driven by a mixed diffusion

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  • N. Bellamy

    ()
    (Equipe d'analyse et probabilitÊs, UniversitÊ d'Evry Val d'Essonne, Boulevard des coquibus, F-91025 Evry Cedex, France Manuscript)

  • M. Jeanblanc

    ()
    (Equipe d'analyse et probabilitÊs, UniversitÊ d'Evry Val d'Essonne, Boulevard des coquibus, F-91025 Evry Cedex, France Manuscript)

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    Abstract

    An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.

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    File URL: http://link.springer.de/link/service/journals/00780/papers/0004002/00040209.pdf
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 4 (2000)
    Issue (Month): 2 ()
    Pages: 209-222

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    Handle: RePEc:spr:finsto:v:4:y:2000:i:2:p:209-222

    Note: received: July 1997; final version received: April 1999
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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Contingent claim valuation; incomplete model; martingale measures; Black and Scholes function;

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    Cited by:
    1. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
    2. Xavier De Scheemaekere, 2009. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Papers 0909.3219, arXiv.org, revised Sep 2010.
    3. Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
    4. Leonel Pérez-Hernández, 2005. "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," Department of Economics and Finance Working Papers EC200505, Universidad de Guanajuato, Department of Economics and Finance.
    5. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
    6. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24, University of Verona, Department of Economics.
    7. Erik Ekstr\"om & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Papers math/0601526, arXiv.org.
    8. Bellamy, Nadine, 2001. "Wealth optimization in an incomplete market driven by a jump-diffusion process," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 259-287, April.
    9. Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Papers math/0702435, arXiv.org.
    10. Erik Ekstr\"om & Johan Tysk, 2005. "Properties of option prices in models with jumps," Papers math/0509232, arXiv.org, revised Nov 2005.

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