A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
J. L. Lesne and
Jean-Luc Prigent
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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
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000894
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DOI: 10.1142/S0219024901000894
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