Convexity preserving jump-diffusion models for option pricing

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dc.creatorEkström, Erik
dc.creatorTysk, Johan
dc.date2006-01-22
dc.date.accessioned2026-07-07T12:07:17Z
dc.date.available2026-07-07T12:07:17Z
dc.descriptionWe investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition for convexity to be preserved in several-dimensional jump-diffusion models. This necessary condition is then used to show that, within a large class of possible models, the only convexity preserving models are the ones with linear coefficients.
dc.description14 pages
dc.identifierhttps://arxiv.org/abs/math/0601526
dc.identifierhttp://arxiv.org/abs/math/0601526
dc.identifierJ. Math. Anal. Appl. 330 (2007), 715-728.
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208915
dc.subjectAnalysis of PDEs
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject91B28; 35B99; 60J75
dc.titleConvexity preserving jump-diffusion models for option pricing
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