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Incompleteness of markets driven by a mixed diffusion

Author

Listed:
  • 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.

Suggested Citation

  • N. Bellamy & M. Jeanblanc, 2000. "Incompleteness of markets driven by a mixed diffusion," Finance and Stochastics, Springer, vol. 4(2), pages 209-222.
  • 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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    Citations

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    Cited by:

    1. Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Papers math/0702435, arXiv.org.
    2. Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
    3. Xavier De Scheemaekere, 2009. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Papers 0909.3219, arXiv.org, revised Sep 2010.
    4. repec:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3 is not listed on IDEAS
    5. Erik Ekstrom & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Papers math/0601526, arXiv.org.
    6. 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.
    7. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    8. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
    9. 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.
    10. Bergenthum Jan & Rüschendorf Ludger, 2008. "Comparison results for path-dependent options," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 53-72, March.
    11. Erik Ekstrom & Johan Tysk, 2005. "Properties of option prices in models with jumps," Papers math/0509232, arXiv.org, revised Nov 2005.
    12. 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.
    13. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24/2005, University of Verona, Department of Economics.

    More about this item

    Keywords

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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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