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JOURNALS // Trudy Matematicheskogo Instituta imeni V.A. Steklova // Archive
Trudy Mat. Inst. Steklova, 2002 Volume 237, Pages 123–142 (Mi tm326)
This article is cited in 14 papers

On Option Pricing in Certain Incomplete Markets

P. Jakubenas

Université Pierre & Marie Curie, Paris VI

Abstract: In the present paper we consider the valuation of a European option with a convex pay-off function $g$ and establish the range of “fair” option prices when the stock price is driven by an exponential of a general Lévy process.

UDC: 519.2+519.8

Received in February 1999

Language: English


 English version: Proceedings of the Steklov Institute of Mathematics, 2002, 237, 114–133

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