Pricing Contingent Claims in a Two-Interest Rate Multi-dimensional Jump-diffusion Model via Market Completion

Abstract

In this paper, we investigate a financial market in which asset prices evolve based on a multi-dimensional Brownian motion process and a multi-dimensional Poisson process with different credit and deposit rates We proceed to evaluate European options by establishing upper and lower hedging prices through a transition to a suitable auxiliary market. Additionally, we address the minimization of shortfall risk and no-arbitrage price bounds in incomplete markets within this framework.