BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS

DOI10.1142/S0219024908004944zbMath1232.91648OpenAlexW2142285888MaRDI QIDQ3168858

Jean-Christophe Breton, Nicolas Privault

Publication date: 27 April 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908004944

zbMATH Keywords

jump-diffusion processesoption pricesconvex concentrationpropagation of convexity property

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Convex concentration for some additive functionals of jump stochastic differential equations ⋮ A note on convex ordering for stable stochastic integrals ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus

Cites Work

• Calcul stochastique et problèmes de martingales
• Convexity preserving jump-diffusion models for option pricing
• Comparison of semimartingales and Lévy processes
• Propagation of convexity by Markovian and martingalian semigroups
• Incompleteness of markets driven by a mixed diffusion
• [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales]
• Robustness of the Black and Scholes Formula
• PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS

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