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The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps

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2009

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Xiong, Dewen

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-86291
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https://doi.org/10.1080/07362990902844504
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Stochastic Analysis and Applications. 2009, 27(3), pp. 604-636. Available under: doi: 10.1080/07362990902844504

Zusammenfassung

We consider an incomplete market with general jumps in the given price process S of a risky asset. We define the S-related dynamic convex valuation (S-related DCV) which is time-consistent. We discuss the representation for a given S-related DCV C in terms of a 'penalty functional' alpha and give some characteristics of alpha, which are the sufficient conditions for a given C to be an S-related DCV. Finally, we give two special forms of alpha satisfying those conditions to describe the dynamics of the corresponding S-related DCV by a backward semimartingale equation.

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510 Mathematik

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ISO 690XIONG, Dewen, Michael KOHLMANN, 2009. The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps. In: Stochastic Analysis and Applications. 2009, 27(3), pp. 604-636. Available under: doi: 10.1080/07362990902844504
BibTex
@article{Xiong2009Dynam-783,
  year={2009},
  doi={10.1080/07362990902844504},
  title={The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps},
  number={3},
  volume={27},
  journal={Stochastic Analysis and Applications},
  pages={604--636},
  author={Xiong, Dewen and Kohlmann, Michael}
}
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