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Incompleteness of markets driven by a mixed diffusion

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Author Info
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)
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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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 4 (2000)
Issue (Month): 2 ()
Pages: 209-222
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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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Related research
Keywords: Contingent claim valuation; incomplete model; martingale measures; Black and Scholes function;

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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Erik Ekstr\"om & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Quantitative Finance Papers math/0601526, arXiv.org. [Downloadable!]
  2. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January. [Downloadable!] (restricted)
    Other versions:
  3. Erik Ekstr\"om & Johan Tysk, 2005. "Properties of option prices in models with jumps," Quantitative Finance Papers math/0509232, arXiv.org, revised Nov 2005. [Downloadable!]
  4. Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Quantitative Finance Papers math/0702435, arXiv.org. [Downloadable!]
  5. Xavier De Scheemaekere, 2009. "Dynamic risk indifference pricing in incomplete markets," Quantitative Finance Papers 0909.3219, arXiv.org. [Downloadable!]
  6. 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. [Downloadable!]
  7. Leonel Pérez-Hernández, . "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," School of Economics Working Papers EC200505, Universidad de Guanajuato. [Downloadable!]
  8. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24, Università di Verona, Dipartimento di Scienze economiche. [Downloadable!]
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