Contingent claims valuation when the security price is a combination of an Itō process and a random point process

DOI10.1016/0304-4149(88)90096-8zbMath0645.90009OpenAlexW1964367307MaRDI QIDQ1103505

Knut Kristian Aase

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90096-8

zbMATH Keywords

treesensitivity analysissemi-martingalefinancial economicspriority classescyclic networkscontingent claims valuationcontinuous tradingfrictionless security marketqueueing-location model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (32)

Convergence of Jump-Diffusion Modelsto the Black–Scholes Model ⋮ The Minimal Entropy Martingale Measure for Exponential Markov Chains ⋮ Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty ⋮ The European options hedge perfectly in a Poisson-Gaussian stock market model ⋮ A counting process approach to stochastic interest ⋮ On martingale measures when asset returns have unpredictable jumps ⋮ Admissible investment strategies in continuous trading ⋮ Asian options with jumps ⋮ Option pricing and hedge portfolios for poisson progresses ⋮ A new method for valueing underwriting agreements for rights issues ⋮ Pricing of Unit-linked Life Insurance Policies ⋮ Diffusion approximations of the geometric Markov renewal processes and option price formulas ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ ⋮ European option pricing with transaction costs in Lévy jump environment ⋮ Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios ⋮ Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model ⋮ A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle ⋮ Option Pricing For Jump Diffusions: Approximations and Their Interpretation ⋮ Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model ⋮ Discrete-Time Semi-Markov Random Evolutions and their Applications ⋮ Sufficient Poisson jump diffusion market models revisited ⋮ Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes ⋮ The Geometric Markov Renewal Processes with Application to Finance ⋮ Optimal stopping, free boundary, and American option in a jump-diffusion model ⋮ Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model ⋮ Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model ⋮ OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS ⋮ Pricing contingent claims on stocks driven by Lévy processes ⋮ Stability for multidimensional jump-diffusion processes ⋮ Pricing options on securities with discontinuous returns ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Calcul stochastique et problèmes de martingales
• Optimum portfolio diversification in a general continuous-time model
• Stochastic differential equations. An introduction with applications
• Arbitrage pricing of contingent claims
• Ruin problems and myopic portfolio optimization in continuous trading
• Admissible investment strategies in continuous trading
• A new method for valueing underwriting agreements for rights issues
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The multiplicity of an increasing family of \(\sigma\)-fields
• A stochastic calculus model of continuous trading: Complete markets
• Stochastic control of geometric processes
• Hedge portfolios and the black-scholes equations
• R&D projects analyzed by semimartingale methods
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process
• Accumulated claims and collective risk in insurance: Higher order asymptotic approximations
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I
• Algorithm AS 176: Kernel Density Estimation Using the Fast Fourier Transform
• Stochastic continuous-time model reference adaptive systems with decreasing gain
• Bang-bang controls of point processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4194221 Espaces de semi martingales et changement de probabilit�]
• Option pricing when underlying stock returns are discontinuous
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Equilibrium in a Reinsurance Market

This page was built for publication: Contingent claims valuation when the security price is a combination of an Itō process and a random point process