IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Dynamic State Tameness

Listed author(s):
  • Jaime Londoño

    (Universidad Nacional de Colombia, Facultad de Ciencias, Departamento de Matemáticas.)

An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the augmentation by a shadow stock of the price evolution has a Markovian character. As in a previous paper, the results obtained on valuation of European contingent claims and American contingent claims do not require the full range of the volatility matrix. Under some additional continuity conditions, the conceptual framework provided by the model makes it possible to regard the valuation of financial instruments of the European type as a particular case of valuation of instruments of American type. This provides a unifying framework for the problem of valuation of financial instruments.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by EconWPA in its series Finance with number 0509010.

in new window

Length: 19 pages
Date of creation: 08 Sep 2005
Date of revision: 20 Sep 2005
Handle: RePEc:wpa:wuwpfi:0509010
Note: Type of Document - pdf; pages: 19
Contact details of provider: Web page:

References listed on IDEAS
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.:

in new window

  1. Jaime A. Londoño, 2003. "State Tameness: A New Approach for Credit Constrains," Finance 0305001, EconWPA, revised 16 Feb 2004.
  2. Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274,, revised Feb 2004.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0509010. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.