Volume 56, 2017Enlargement of filtrations
|Page(s)||72 - 87|
|Published online||04 September 2017|
Options Prices in Incomplete Markets*
Institut de Mathématiques de Jussieu, CNRS UMR 7586 and Université P. et M. Curie-P6
2 Statistics Department, Columbia University, New York, NY, 10027
In this paper we consider the valuation of an option with time to expiration T and pay-off function g which is a convex function (as is a European call option), and constant interest rate r = 0, for a variety of underlying price process models constructed from two independent Poisson processes, and an independent Brownian motion. This gives rise to incomplete market models with an infinite number of risk neutral measures. The collection of risk neutral measures gives rise to different prices, which comprise intervals that we calculate. The intervals can vary dramatically depending on the model parameters.
© EDP Sciences, SMAI 2017
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.