The range of derivative's arbitrage prices in a general incomplete market

The range of derivative's arbitrage prices in a general incomplete market

In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension and we characterize the range of derivative's arbitrage prices by the super-replication approach in the deterministic interest rate hypothesis (DIRH) and in the stochastic interest rate hypothes...

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Main Author: Silvia Romagnoli
Format: Article
Language:English
Published: University of Bologna 2007-10-01
Series:Statistica
Online Access:http://rivista-statistica.unibo.it/article/view/94
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spelling doaj-39daf3a291474099987d4bfe30f0765f2020-11-24T23:21:56ZengUniversity of BolognaStatistica0390-590X1973-22012007-10-0165331534010.6092/issn.1973-2201/9489The range of derivative's arbitrage prices in a general incomplete marketSilvia RomagnoliIn this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension and we characterize the range of derivative's arbitrage prices by the super-replication approach in the deterministic interest rate hypothesis (DIRH) and in the stochastic interest rate hypothesis (SIRH). We give some examples of applications of this models in particular incomplete situations.http://rivista-statistica.unibo.it/article/view/94
collection DOAJ
language English
format Article
sources DOAJ
author Silvia Romagnoli
spellingShingle Silvia Romagnoli
The range of derivative's arbitrage prices in a general incomplete market
Statistica
author_facet Silvia Romagnoli
author_sort Silvia Romagnoli
title The range of derivative's arbitrage prices in a general incomplete market
title_short The range of derivative's arbitrage prices in a general incomplete market
title_full The range of derivative's arbitrage prices in a general incomplete market
title_fullStr The range of derivative's arbitrage prices in a general incomplete market
title_full_unstemmed The range of derivative's arbitrage prices in a general incomplete market
title_sort range of derivative's arbitrage prices in a general incomplete market
publisher University of Bologna
series Statistica
issn 0390-590X
1973-2201
publishDate 2007-10-01
description In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension and we characterize the range of derivative's arbitrage prices by the super-replication approach in the deterministic interest rate hypothesis (DIRH) and in the stochastic interest rate hypothesis (SIRH). We give some examples of applications of this models in particular incomplete situations.
url http://rivista-statistica.unibo.it/article/view/94
work_keys_str_mv AT silviaromagnoli therangeofderivativesarbitragepricesinageneralincompletemarket
AT silviaromagnoli rangeofderivativesarbitragepricesinageneralincompletemarket
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