Statistica (Oct 2007)
The range of derivative's arbitrage prices in a general incomplete market
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.