This paper investigates the properties of contingent claim prices in a one dimensional diffusion world and establishes that (i) the delta of any claim is bounded above (below) by the sup (inf) of its delta at maturity, and (ii), if its payoff is convex (concave) then its current value is convex...

When the underlying price process is a one-dimensional diffusion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), the claim's price is...

This paper examines general properties of prices of contingent claims. When the underlying follows a one- dimensional diffusion and interest rates are deterministic, a claim's delta is bounded by the infimum and the supremum of its delta at maturity. Similar bounds hold for the bond position in...

A recent paper (Benninga-Protopapadakis 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the eigenvectors of...

The bulk of the option pricing properties established in Merton's Classic Theory when the option price is homogeneous of degree one in the underlying's value and the exercise price, are shown to extend to any Markovian diffusion world. The most important result is that calls are increasing...

We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic diffusion parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a...