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The range of derivative's arbitrage prices in a general incomplete market

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  • Silvia Romagnoli

Abstract

In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension and we characterize the range of derivative's arbitrage prices by the super-replication approach in the deterministic interest rate hypothesis (DIRH) and in the stochastic interest rate hypothesis (SIRH). We give some examples of applications of this models in particular incomplete situations.

Suggested Citation

  • Silvia Romagnoli, 2005. "The range of derivative's arbitrage prices in a general incomplete market," Statistica, Department of Statistics, University of Bologna, vol. 65(3), pages 315-340.
    • Handle: RePEc:bot:rivsta:v:65:y:2005:i:3:p:315-340
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