Convex comparison inequalities for exponential jump-diffusion processes
نویسندگان
چکیده
منابع مشابه
Convex Comparison Inequalities for Exponential Jump-diffusion Processes
Given (Mt)t∈R+ and (M ∗ t )t∈R+ respectively a forward and a backward exponential martingale with jumps and a continuous part, we prove that E[φ(MtM∗ t )] is non-increasing in t when φ is a convex function, provided the local characteristics of the stochastic logarithms of (Mt)t∈R+ and of (M∗ t )t∈R+ satisfy some comparison inequalities. As an application, we deduce bounds on option prices in m...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2007
ISSN: 0973-9599
DOI: 10.31390/cosa.1.2.06