Options Prices in Incomplete Markets*
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-06-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201756072 |