%0 Journal Article
%T Convexity preserving jump-diffusion models for option pricing
%A Erik Ekstr£żm
%A Johan Tysk
%J Mathematics
%D 2006
%I arXiv
%X We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition for convexity to be preserved in several-dimensional jump-diffusion models. This necessary condition is then used to show that, within a large class of possible models, the only convexity preserving models are the ones with linear coefficients.
%U http://arxiv.org/abs/math/0601526v1