Melnikov, A.; Mohammadi Nejad, P. Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion. AppliedMath2024, 4, 348-362.
Melnikov, A.; Mohammadi Nejad, P. Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion. AppliedMath 2024, 4, 348-362.
Melnikov, A.; Mohammadi Nejad, P. Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion. AppliedMath2024, 4, 348-362.
Melnikov, A.; Mohammadi Nejad, P. Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion. AppliedMath 2024, 4, 348-362.
Abstract
In this paper, we investigate a financial market in which asset prices evolve based on a multi-dimensional Brownian motion process and a multi-dimensional Poisson process with different credit and deposit rates We proceed to evaluate European options by establishing upper and lower hedging prices through a transition to a suitable auxiliary market. Additionally, we address the minimization of shortfall risk and no-arbitrage price bounds in incomplete markets within this framework.
Keywords
jump-diffusion; different interest rates; shortfall risk minimization; completion; multi-dimensional
Subject
Computer Science and Mathematics, Applied Mathematics
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
