Pricing options on securities with discontinuous returns

DOI10.1016/0304-4149(93)90110-PzbMath0791.60050MaRDI QIDQ1313131

Indrajit Bardhan, Xiulu Chao

Publication date: 7 July 1994

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

zbMATH Keywords

Brownian motionstochastic differential equationsEuropean and American optionshedging portfoliosmultidimensional point process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty ⋮ A class of complete benchmark models with intensity-based jumps ⋮ On martingale measures when asset returns have unpredictable jumps ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework ⋮ STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING ⋮ Portfolio selection with jumps under regime switching ⋮ Long-term behavior of stochastic interest rate models with jumps and memory ⋮ Threshold behavior of a stochastic SIS model with Lévy jumps ⋮ Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model ⋮ Pricing contingent claims on stocks driven by Lévy processes ⋮ APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Martingales and arbitrage in multiperiod securities markets
• Point processes and queues. Martingale dynamics
• Optimization Problems in the Theory of Continuous Trading
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Pricing options on securities with discontinuous returns