Financial asset price movements are considered, where the risky asset price is a marked point process. Let its dynamics depend on an underlying event arrivals process which is assumed to be a marked point process unobserved by the market agents. Taking into account the presence of catastrophic events, the possibility of common jump times between the risky asset price process and the arrivals process is allowed. The equivalent martingale measures are characterized. The arbitrage-free pricing of a European contingent claim is identified as the conditional expectation with respect to the observations under the minimal martingale measure.

Option Pricing for a Partially Observed Pure Jump Price Process.

TARDELLI, PAOLA
2011

Abstract

Financial asset price movements are considered, where the risky asset price is a marked point process. Let its dynamics depend on an underlying event arrivals process which is assumed to be a marked point process unobserved by the market agents. Taking into account the presence of catastrophic events, the possibility of common jump times between the risky asset price process and the arrivals process is allowed. The equivalent martingale measures are characterized. The arbitrage-free pricing of a European contingent claim is identified as the conditional expectation with respect to the observations under the minimal martingale measure.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/9182
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