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Convexity preserving jump-diffusion models for option pricing
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Mathematics I -V.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Mathematics I -V.
2007 (English)In: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 330, no 1, 715-728 p.Article in journal (Refereed) Published
Abstract [en]

We 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.

Place, publisher, year, edition, pages
2007. Vol. 330, no 1, 715-728 p.
Keyword [en]
Convexity, Jump-diffusions, Integro-differential equations, Options, Option price orderings
National Category
Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-22508DOI: 10.1016/j.jmaa.2006.07.088ISI: 000247015800053OAI: oai:DiVA.org:uu-22508DiVA: diva2:50281
Available from: 2007-02-15 Created: 2007-02-15 Last updated: 2017-12-07Bibliographically approved

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Ekström, ErikTysk, Johan

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