Statistica (Oct 2007)

The range of derivative's arbitrage prices in a general incomplete market

  • Silvia Romagnoli

DOI
https://doi.org/10.6092/issn.1973-2201/94
Journal volume & issue
Vol. 65, no. 3
pp. 315 – 340

Abstract

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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.