Tytuł artykułu
Autorzy
Identyfikatory
Warianty tytułu
Konferencja
II Konferencja dla Młodych Matematyków. Zastosowania Matematyki -Lądek Zdrój 2001
Języki publikacji
Abstrakty
The problem of valuation of American-type contingent claims in incomplete financial market models is considered. Market models are defined by stochastic differential equations driven by Gaussian and Poisson martingale measures. It is well known that in such a setting contingent claims prices are not uniquely defined. With different criteria of chosing optimal (in some sense) equivalent martingale measures, introduced into consideration, different prices can be obtained. A more general problem consists in studying theoretically and numerically the dependence of prices on equivalent measures from some adequate classes of semimartingale probability measures. Here we present some new theoretical and numerical results obtained for the range of American options prices considered for a class of the jump-diffusion financial market models defined by stochastic differential equations driven by Wiener and Poisson processes.
Słowa kluczowe
Rocznik
Tom
Strony
75--96
Opis fizyczny
Bibliogr 9 poz.
Twórcy
autor
- Institute of Mathematics, Wrocław University of Technoloy, Poland.
Bibliografia
- [1] I. Bardhan, X. Chao, On martingale measures when asset returns have unpredictable jumps, Stochastic Process. Appl. 63 (1996), 35-54.
- [2] N. Bellamy, M. Jeanblanc, Incompleteness of markets driven by a mixed diffusion, Finance Stoch. 4 (2000), 209-222.
- [3] E. Eberlein, J. Jacod, On the range of option prices, Finance Stoch. 1 (1977), 131-140.
- [4] J.M. Harrison, S.R. Pliska, Stochastic calculus model for continuous trading; Complete markets, Stochastic Process. Appl. 15, 313-316.
- [5] N. Ikeda, S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland Publishing Company Amsterdam-Oxford-New York, 1981.
- [6] H. Pham, Optimal stopping, free boundary, and american option in a jump-diffusion model, Appl. Math. Optim. 35 (1997), 145-164.
- [7] P. Protter, Stochastic Integration and Differential Equations, Springer-Verlag Berlin Heidelberg, 1990.
- [8] J. Wybraniec, The problem of determining the range of American contingent claims prices in the jump-diffusion model, (2003) (to appear).
- [9] X. L. Zhang, Numerical analysis of americanAggtion pricing in a jump-diffusion model, Math. Oper. Res. 22 (1997), 668-690.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-BPW5-0006-0029