Article2001

Bounds on option prices for semimartingale market models

Alexander Alexandrovich Gushchin · Ernesto Mordecki

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

We propose a methodology for the determination of the range of option prices of a European option in a general semimartingale market model, with a convex payoff function. Prices are obtained as expectations along the set of equivalent martingale measures.

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1983Stochastic Differential Equations and Diffusion Processes 1979Calcul Stochastique et Problèmes de Martingales 1989Theory of Martingales 1995Pricing and hedging derivative securities in markets with uncertain volatilities 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1998Robustness of the Black and Scholes Formula 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets 2000ESSENTIALS OF STOCHASTIC FINANCE

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2007Comparison of semimartingales and Lévy processes 2004Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities

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