On martingale measures when asset returns have unpredictable jumps

DOI10.1016/0304-4149(96)00061-0zbMath0870.90016OpenAlexW1986560609MaRDI QIDQ1363465

Xiuli Chao, Indrajit Bardhan

Publication date: 7 August 1997

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(96)00061-0

zbMATH Keywords

incomplete marketcontingent claimunpredictable jumps

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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