Options Prices in Incomplete Markets
Options Prices in Incomplete Markets
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不完全市场的期权价格
DOI：
10.1051/proc/201756072
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Nikeghbali, Ashkan
中科院分区：
文献类型：
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作者：
Jacod, Jean;Protter, Philip;Crépey, Stéphane;Jeanblanc, Monique;Nikeghbali, Ashkan
本文研究了具有到达时间T和支付函数g为凸函数（如欧式看涨期权），利率为0的期权的定价问题，模型由两个独立的Poisson过程和一个独立的Brown运动构成。这就产生了不完整的市场模型与无限数量的风险中性措施。风险中性度量的集合会产生不同的价格，这些价格包括我们计算的区间。根据模型参数的不同，间隔可能会有很大变化。
In this paper we consider the valuation of an option with time to expirationTand pay-off function g which is a convex function (as is a European call option), and constant interest rater= 0, for a variety of underlying price process models constructed from two independent Poisson processes, and an independent Brownian motion. This gives rise to incomplete market models with an infinite number of risk neutral measures. The collection of risk neutral measures gives rise to different prices, which comprise intervals that we calculate. The intervals can vary dramatically depending on the model parameters.