On pricing contingent claims in a two interest rates jump-diffusion model via market completions

Kane, S.; Melnikov, A.

doi:10.1090/S0094-9000-09-00747-9

On pricing contingent claims in a two interest rates jump-diffusion model via market completions

Authors: S. Kane and A. Melnikov
Journal: Theor. Probability and Math. Statist. 77 (2008), 57-69
MSC (2000): Primary 60H30, 62P05, 91B28; Secondary 60J75, 60G44, 91B30
DOI: https://doi.org/10.1090/S0094-9000-09-00747-9
Published electronically: January 14, 2009
MathSciNet review: 2432772
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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.

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