Convexity preserving jump-diffusion models for option pricing

DOI10.1016/J.JMAA.2006.07.088zbMath1250.91110arXivmath/0601526OpenAlexW2106590032MaRDI QIDQ874977

Erik Ekström, Johan Tysk

Publication date: 10 April 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0601526

zbMATH Keywords

optionsintegro-differential equationsconvexityjump-diffusionsoption price orderings

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Related Items (6)

BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ Perpetual American options with asset-dependent discounting ⋮ Convexity theory for the term structure equation ⋮ On shape preserving semigroups ⋮ On the behaviour near expiry for multi-dimensional American options

Cites Work

• Unnamed Item
• Comparison of option prices in semimartingale models
• Volatility misspecification, option pricing and superreplication via coupling
• Volatility time and properties of option prices
• Incompleteness of markets driven by a mixed diffusion
• Preservation of convexity of solutions to parabolic equations
• Robustness of the Black and Scholes Formula
• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
• Superreplication of Options on Several Underlying Assets

This page was built for publication: Convexity preserving jump-diffusion models for option pricing