Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion

This paper investigates a financial market where asset prices follow a multi-dimensional Brownian motion process and a multi-dimensional Poisson process characterized by diverse credit and deposit rates where the credit rate is higher than the deposit rate. The focus extends to evaluating European o...

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Bibliographic Details

Published in:	AppliedMath
Main Authors:	Alexander Melnikov, Pouneh Mohammadi Nejad
Format:	Article
Language:	English
Published:	MDPI AG 2024-03-01
Subjects:	jump-diffusion different interest rates shortfall risk minimization completion multi-dimensional
Online Access:	https://www.mdpi.com/2673-9909/4/1/18