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http://hdl.handle.net/10419/56185
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| Title: | | Towards a general theory of good deal bounds  |
| Authors: | | Björk, Tomas Slinko, Irina |
| Issue Date: | | 2005 |
| Series/Report no.: | | SSE/EFI Working Paper Series in Economics and Finance 595 |
| Abstract: | | 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, extending the CSR results 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. |
| Subjects: | | Incomplete markets good deal bounds financial derivatives arbitrage pricing |
| JEL: | | G12 G13 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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