Abstract

In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension and we characterize the range of derivative's arbitrage prices by the super-replication approach in the deterministic interest rate hypothesis (DIRH) and in the stochastic interest rate hypothesis (SIRH). We give some examples of applications of this models in particular incomplete situations.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.