Geodesic
Bounds for the range of American contingent claim prices in the jump-diffusion model
Aleksander Janicki1 ; Jacek Wybraniec2
1 Mathematical Institute University of Wroc/law 50-384 Wroc/law, Poland
2 Institute of Mathematics Wroc/law University of Technology 50-370 Wroc/law, Poland
Applicationes Mathematicae, Tome 32 (2005) no. 1, pp. 103-118 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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The problem of valuation of American contingent claims for a jump-diffusion market model is considered. Financial assets are described by stochastic differential equations driven by Gaussian and Poisson random measures. In such setting the money market is incomplete, thus contingent claim prices are not uniquely defined. For different equivalent martingale measures different arbitrage free prices can be derived. The problem is to find exact bounds for the set of all possible prices obtained in this way. The paper extends and improves some results of [BJ00].
DOI : 10.4064/am32-1-8
Keywords: problem valuation american contingent claims jump diffusion market model considered financial assets described stochastic differential equations driven gaussian poisson random measures setting money market incomplete contingent claim prices uniquely defined different equivalent martingale measures different arbitrage prices derived problem exact bounds set possible prices obtained paper extends improves results

Aleksander Janicki 1 ; Jacek Wybraniec 2

1 Mathematical Institute University of Wroc/law 50-384 Wroc/law, Poland
2 Institute of Mathematics Wroc/law University of Technology 50-370 Wroc/law, Poland 
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Aleksander Janicki; Jacek Wybraniec. Bounds for the range of American
contingent claim prices in
the jump-diffusion model. Applicationes Mathematicae, Tome 32 (2005) no. 1, pp. 103-118. doi: 10.4064/am32-1-8

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