Bounds for the range of American contingent claim prices in the jump-diffusion model

DOI10.4064/AM32-1-8MaRDI QIDQ4677398zbMATH OpenOpenAlexFDO

Authors Aleksander Janicki, Jacek Wybraniec

Publication date 20 May 2005

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am32-1-8

zbMATH Keywords

American option valuationequivalent martingale measuresjump-diffusion market modeloptimal stopping time problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

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• On pricing contingent claims in a two interest rates jump-diffusion model via market completions
• An exact formula for the value of a portfolio at a random final time

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