A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING

J. L. Lesne and Jean-Luc Prigent
Additional contact information
J. L. Lesne: THEMA, University of Cergy-Pontoise, 33 bd du Port 95000 Cergy, France

International Journal of Theoretical and Applied Finance (IJTAF), 2001, vol. 04, issue 01, 121-146

Abstract: A general subordinated stochastic process is proposed to model the dynamics of the underlying asset of an option. We prove that this class of models can be considered generically as the limit of discrete time models in which the number of transactions is random. We also derive several results for the valuation of contingent claims in this framework. In particular, we compare the impacts of different choices of subordinator processes on the option valuation.

Keywords: Option pricing; jump diffusion; subordinated process (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024901000894
Access to full text is restricted to subscribers

Related works:
Working Paper: A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING (2011)
Working Paper: A general subordinated stochastic process for the derivatives pricing (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000894

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024901000894

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().