PRICING OPTIONS ON SECURITIES WITH DISCONTINUOUS RETURNS

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:48

Article

BARDHAN, I ; CHAO, XL

关键词: POINT PROCESSES;    STOCHASTIC INTENSITY;    EQUIVALENT MARTINGALE MEASURE;    EUROPEAN AND AMERICAN OPTIONS;    VALUATION EQUATION;   

DOI  :  10.1016/0304-4149(93)90110-P

来源: Elsevier

【 摘 要 】

We consider a financial market where the asset prices are driven by a multidimensional Brownian motion process and a multidimensional point process of random jumps admitting stochastic intensity. Using the equivalent martingale measure approach, we construct hedging portfolios for European and American contingent claims. We also present a valuation equation that must be satisfied by any derivative security and can be solved numerically to obtain option prices.

【 授权许可】

Free