On the range of options prices

@article{Eberlein1997OnTR,
  title={On the range of options prices},
  author={Ernst Eberlein and Jean Jacod},
  journal={Finance and Stochastics},
  year={1997},
  volume={1},
  pages={131-140}
}
In this paper we consider the valuation of an option with time to expirationT and pay-off functiong 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 ( St ) 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… CONTINUE READING

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