On the Range of Options
نویسنده
چکیده
In this paper we consider the valuation of an option with time to expiration T and pay-oo function g which is a convex function (as is a European call option), and constant interest rate r, in the case where the underlying model for stock prices (S t) is a purely discontinuous process (hence typically the model is incomplete). The main result is that, for \most" such models, the range of the values of the option, using all possible equivalent martingale measures for the valuation, is the interval (e ?rT g(e rT S 0); S 0), this interval being the biggest interval in which the values must lie, whatever model is used.
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