Geodesic
Options Prices in Incomplete Markets
Jean Jacod1 ; Philip Protter2
1 Institut de Mathématiques de Jussieu, CNRS UMR 7586 and Université P. et M. Curie-P6
2 Statistics Department, Columbia University, New York, NY, 10027
ESAIM. Proceedings, Tome 56 (2017), pp. 72-87 Cet article a éte moissonné depuis la source EDP Sciences

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In this paper we consider the valuation of an option with time to expiration T and pay-off function g which is a convex function (as is a European call option), and constant interest rate r = 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.
DOI : 10.1051/proc/201756072

Jean Jacod 1 ; Philip Protter 2

1 Institut de Mathématiques de Jussieu, CNRS UMR 7586 and Université P. et M. Curie-P6
2 Statistics Department, Columbia University, New York, NY, 10027 
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     author = {Jean Jacod and Philip Protter},
     title = {Options {Prices} in {Incomplete} {Markets}},
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     doi = {10.1051/proc/201756072},
     language = {en},
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Jean Jacod; Philip Protter. Options Prices in Incomplete Markets. ESAIM. Proceedings, Tome 56 (2017), pp. 72-87. doi: 10.1051/proc/201756072

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