Option Pricing with a General Marked Point Process
From MaRDI portal
Publication:2757668
DOI10.1287/moor.26.1.50.10592zbMath1073.91592OpenAlexW2122877839MaRDI QIDQ2757668
Publication date: 26 November 2001
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.26.1.50.10592
Microeconomic theory (price theory and economic markets) (91B24) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (17)
On the diversity score: a copula approach ⋮ Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation ⋮ MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS ⋮ Partially informed investors: hedging in an incomplete market with default ⋮ RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS ⋮ PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH ⋮ On computing medians of marked point process data under edit distance ⋮ RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ A partially observed ultra-high-frequency data model: risk-minimizing hedging ⋮ Self-exciting jump processes with applications to energy markets ⋮ Point process estimation with Mirror Prox algorithms ⋮ Stochastic control methods: Hedging in a market described by pure jump processes ⋮ Wealth optimization and dual problems for jump stock dynamics with stochastic factor ⋮ A copula model for marked point processes ⋮ A functional marked point process model for lupus data
This page was built for publication: Option Pricing with a General Marked Point Process
