The mean comparison theorem cannot be extended to the Poisson case

DOI10.1239/JAP/1101840565MaRDI QIDQ4660544zbMATH OpenOpenAlexFDO

Authors Mingxin Xu, Jan Vecer

Publication date 4 April 2005

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1101840565

zbMATH Keywords

comparison theoremPoisson process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Coupling and option price comparisons in a jump-diffusion model
• Mean stochastic comparison of diffusions
• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
• Options on a traded account: Vacation calls, vacation puts and passport options
• Robustness of the Black and Scholes Formula
• Volatility misspecification, option pricing and superreplication via coupling

Cited in

(2)

• Generalisation of Hajek's stochastic comparison results to stochastic sums
• European and Asian Greeks for exponential Lévy processes

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