Incompleteness of markets driven by a mixed diffusion

DOI10.1007/S007800050012MaRDI QIDQ1584197zbMATH OpenOpenAlexFDO

Authors Nadine Bellamy, Monique Jeanblanc

Publication date 1 November 2000

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050012

zbMATH Keywords

martingale measurescontingent claim valuationincomplete modelBlack-Scholes function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• The range of derivative's arbitrage prices in a general incomplete market
• scientific article; zbMATH DE number 1145361
• Options prices in incomplete markets
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences
• Semimartingales and hedging in incomplete markets

Cited in

(28)

• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Bounds on option prices in point process diffusion models
• Approximate hedging of options under jump-diffusion processes
• Systematic equity-based credit risk: A CEV model with jump to default
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Bounds for perpetual American option prices in a jump diffusion model
• Tractable hedging: An implementation of robust hedging strategies
• Comparison results for GARCH processes
• Option pricing under jump-diffusion processes with regime switching
• Numerical simulations for the pricing of options in jump diffusion markets
• The range of derivative's arbitrage prices in a general incomplete market
• On the Pricing of American Options in Exponential Lévy Markets
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• Wealth optimization in an incomplete market driven by a jump-diffusion process
• Bounds on mean variance hedging in jump diffusion
• Option pricing and hedging with minimum local expected shortfall
• Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
• Comparison of option prices in semimartingale models
• PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
• Convexity theory for the term structure equation
• Optimal stopping problem in a model with compensated refusal of reward
• Convex ordering criteria for Lévy processes
• Comparison of semimartingales and Lévy processes
• Risk measure pricing and hedging in incomplete markets
• Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
• Robustness of Delta Hedging in a Jump-Diffusion Model
• Convexity preserving jump-diffusion models for option pricing
• Some recent developments in stochastic volatility modelling

This page was built for publication: Incompleteness of markets driven by a mixed diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1584197)