Pricing options on securities with discontinuous returns

Document Type

Article

Publication Date

1-1-1993

Abstract

We consider a financial market where the asset prices are driven by a multidimensional Brownian motion processs and a multidimensional point process of random jumps admitting stochastic intensity. Using the equivalent martingale measure approach, we construct hedging portfolios for European and American contingent claims. We also present a valuation equation that must be satisfied by any derivative security and can be solved numerically to obtain option prices. © 1993.

Identifier

38248999613 (Scopus)

Publication Title

Stochastic Processes and their Applications

External Full Text Location

https://doi.org/10.1016/0304-4149(93)90110-P

ISSN

03044149

First Page

123

Last Page

137

Issue

1

Volume

48

Fund Ref

Nanjing Institute of Technology

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