Incompleteness of markets driven by a mixed diffusion

被引：42

作者：

N. Bellamy

M. Jeanblanc

机构：

[1] Equipe d'analyse et probabilités,

[2] Université d'Evry Val d'Essonne,undefined

[3] Boulevard des coquibus,undefined

[4] F-91025 Evry Cedex,undefined

[5] France (e-mail: bellamy@maths.univ-evry.fr; jeanbl@maths.univ-evry.fr),undefined

来源：

Finance and Stochastics | 2000年 / 4卷 / 2期

关键词：

Key words:Contingent claim valuation, incomplete model, martingale measures, Black and Scholes function; JEL Classification:G13; Mathematics Subject Classification (1991):90A09, 60J75;

D O I：

10.1007/s007800050012

中图分类号：

学科分类号：

摘要：

An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.

引用

页码：209 / 222

页数：13