| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We consider a financial model with mild conditions on the dynamic of the underlying asset. The trading is only allowed at some fixed discrete times and the strategy is constrained to lie in a closed convex cone. In this context, we derive closed formulae to compute the super-replication prices of any contingent claim which depends on the values of the underlying at the discrete times above. As an application, when the underlying follows a stochastic differential equation including stochastic volatility or Poisson jumps, we compute those super-replication prices for a range of European and American style options, including Asian, Lookback or Barrier Options.
Mots Clés: Closed formula for Super-replication cost ; convex cone constraints on portfolio ;
exotic European and American options
Date: 2001-10-16
Prépublication numéro: PMA-693
Postscript file : PMA-693.ps
Pdf file : PMA-693.pdf