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A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING

Abstract : A general subordinated stochastic process is proposed to model the dynamics of the underlying asset of an option. We prove that this class of models can be considered generically as the limit of discrete time models in which the number of transactions is random. We also derive several results for the valuation of contingent claims in this framework. In particular, we compare the impacts of different choices of subordinator processes on the option valuation.
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https://hal-cyu.archives-ouvertes.fr//hal-03679685
Contributor : Jean-Luc Prigent Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 11:15:01 PM
Last modification on : Friday, May 27, 2022 - 3:59:23 PM

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J. Lesne, Jean-Luc Prigent. A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2011, 04 (01), pp.121-146. ⟨10.1142/S0219024901000894⟩. ⟨hal-03679685⟩

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