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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
University of Bologna
2007-10-01
|
| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/94 |
| id |
doaj-39daf3a291474099987d4bfe30f0765f |
|---|---|
| record_format |
Article |
| 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 |
| _version_ |
1725569350969065472 |