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 in this models in particular incomplete situations.
S. Romagnoli (2005). The range of derivative's arbitrage prices in a general incomplete market. STATISTICA, 65(3), 315-340.
The range of derivative's arbitrage prices in a general incomplete market
ROMAGNOLI, SILVIA
2005
Abstract
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 in this models in particular incomplete situations.File in questo prodotto:
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