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)

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Year of publication:	2009
Authors:	Breton, Jean-Christophe
Other Persons:	Privault, Nicolas (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Innovationsdiffusion \| Innovation diffusion \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance, Vol. 11, No. 6, pp. 597-610, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2008 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013153422