BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS

We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities and jump sizes formulated in our hypotheses are different from the ones already found in the literature (Finance and Stochastics 4(2) (2000) 209–222; 10(2) (2006) 229–249).

MoreLess

Year of publication:	2008
Authors:	BRETON, JEAN-CHRISTOPHE ; PRIVAULT, NICOLAS
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 11.2008, 06, p. 597-610
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Convex concentration \| jump-diffusion processes \| option prices \| propagation of convexity property

More details

Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005060220