BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS

Jean-Christophe Breton () and Nicolas Privault
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Jean-Christophe Breton: Département de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex, France

International Journal of Theoretical and Applied Finance (IJTAF), 2008, vol. 11, issue 06, 597-610

Abstract: We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities and jump sizes formulated in our hypotheses are different from the ones already found in the literature (Finance and Stochastics 4(2) (2000) 209–222; 10(2) (2006) 229–249).

Keywords: Convex concentration; jump-diffusion processes; option prices; propagation of convexity property (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1142/S0219024908004944

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