Incompleteness of markets driven by a mixed diffusion

N. Bellamy () and M. Jeanblanc ()
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N. Bellamy: Equipe d'analyse et probabilitÊs, UniversitÊ d'Evry Val d'Essonne, Boulevard des coquibus, F-91025 Evry Cedex, France Manuscript
M. Jeanblanc: Equipe d'analyse et probabilitÊs, UniversitÊ d'Evry Val d'Essonne, Boulevard des coquibus, F-91025 Evry Cedex, France Manuscript

Finance and Stochastics, 2000, vol. 4, issue 2, 209-222

Abstract: An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.

Keywords: Contingent claim valuation; incomplete model; martingale measures; Black and Scholes function (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2000-02-10
Note: received: July 1997; final version received: April 1999
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Citations: View citations in EconPapers (21)

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