TY - JOUR
T1 - Bounds on option prices in point process diffusion models
AU - Breton, Jean-Christophe
AU - Privault, Nicolas
PY - 2008/9
Y1 - 2008/9
N2 - We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities and jump sizes formulated in our hypotheses are different from the ones already found in the literature (Finance and Stochastics 4(2) (2000) 209-222; 10(2) (2006) 229-249). © 2008 World Scientific Publishing Company.
AB - We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities and jump sizes formulated in our hypotheses are different from the ones already found in the literature (Finance and Stochastics 4(2) (2000) 209-222; 10(2) (2006) 229-249). © 2008 World Scientific Publishing Company.
KW - Convex concentration
KW - Jump-diffusion processes
KW - Option prices
KW - Propagation of convexity property
UR - http://www.scopus.com/inward/record.url?scp=52949095803&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-52949095803&origin=recordpage
U2 - 10.1142/S0219024908004944
DO - 10.1142/S0219024908004944
M3 - RGC 21 - Publication in refereed journal
SN - 0219-0249
VL - 11
SP - 597
EP - 610
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
IS - 6
ER -