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On pricing contingent claims in a two interest rates jump-diffusion model via market completions
Author(s):
S.
Kane;
A.
Melnikov
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 77
(2007).
Journal:
Theor. Probability and Math. Statist.
No. 77
(2008),
57-69.
MSC (2000):
Primary 60H30, 62P05, 91B28;
Secondary 60J75, 60G44, 91B30
Posted:
January 14, 2009
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Additional information
Abstract:
This paper deals with the problem of hedging contingent claims in the framework of a two factors jump-diffusion model with different credit and deposit rates. The upper and lower hedging prices are derived for European options by means of auxiliary completions of the initial market.
References:
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Additional Information:
S.
Kane
Affiliation:
Office of the Superintendant of Financial Institutions, Toronto, M5H3T9, Canada
Email:
selly.kane@osfi-bsif.gc.ca
A.
Melnikov
Affiliation:
Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, T6G2G1, Canada
Email:
melnikov@ualberta.ca
DOI:
10.1090/S0094-9000-09-00747-9
PII:
S 0094-9000(09)00747-9
Keywords:
Constrained market,
completion,
hedging and pricing,
jump-diffusion,
different interest rates
Received by editor(s):
13/NOV/2006
Posted:
January 14, 2009
Additional Notes:
The paper was supported by the discovery grant NSERC \#261855
Copyright of article:
Copyright
2009,
American Mathematical Society
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