Properties of option prices in models with jumps

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dc.creatorEkström, Erik
dc.creatorTysk, Johan
dc.date2005-09-10
dc.date2005-11-03
dc.date.accessioned2026-07-07T12:11:13Z
dc.date.available2026-07-07T12:11:13Z
dc.descriptionWe study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Conditions are provided under which preservation of convexity holds, i.e. under which the value, calculated under a chosen martingale measure, of an option with a convex contract function is convex as a function of the underlying stock price. The preservation of convexity is then used to derive monotonicity properties of the option value with respect to the different parameters of the model, such as the volatility, the jump size and the jump intensity.
dc.description14 pages
dc.identifierhttps://arxiv.org/abs/math/0509232
dc.identifierhttp://arxiv.org/abs/math/0509232
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210157
dc.subjectAnalysis of PDEs
dc.subjectStatistical Finance
dc.subject35B99; 91B28; 60J75
dc.titleProperties of option prices in models with jumps
dc.typetext

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