• Medientyp: E-Book
  • Titel: Towards a General Theory of Good Deal Bounds
  • Beteiligte: Bjork, Tomas [VerfasserIn]; Slinko, Irina [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2005]
  • Umfang: 1 Online-Ressource (34 p)
  • Sprache: Nicht zu entscheiden
  • DOI: 10.2139/ssrn.675225
  • Identifikator:
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 3, 2005 erstellt
  • Beschreibung: We consider an incomplete market in the form of a multidimensional Markovian factor model, driven by a general marked point process (representing discrete jump events) as well as by a standard multidimensional Wiener process. Within this framework we study arbitrage free good deal pricing bounds for derivative assets along the lines of Cochrane and Saa-Requejo (2000), extending the results from their paper to the point process case.As a concrete application we present numerical results for the classic Merton jump-diffusion model. As a by product of the general theory we also extend the Hansen-Jagannathan bounds for the Sharpe Ratio to the point process setting
  • Zugangsstatus: Freier Zugang