A no-crossing property for jump-diffusion processes
نویسندگان
چکیده
This paper studies monotonicity and convexity properties of option prices in jump-diffusion models. In such models it is possible for a monotone contract function to give rise to an option price which is non-monotone in the underlying asset. This is connected to the fact that the no-crossing property, which holds for one-dimensional diffusions, may fail in the presence of jumps. We present a simple condition for the no-crossing property to hold in a jump-diffusion setting and show how this leads to conditions for preservation of monotonicity and convexity of option prices.
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