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The range of derivative's arbitrage prices in a general incomplete market
oleh: Silvia Romagnoli
| Format: | Article |
|---|---|
| Diterbitkan: | University of Bologna 2007-10-01 |
Deskripsi
In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension and we characterize the range of derivative's arbitrage prices by the super-replication approach in the deterministic interest rate hypothesis (DIRH) and in the stochastic interest rate hypothesis (SIRH). We give some examples of applications of this models in particular incomplete situations.