Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56185
Authors: 
Björk, Tomas
Slinko, Irina
Year of Publication: 
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

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