Sufficient Poisson jump diffusion market models revisited
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Publication:2759032
DOI10.1090/S0002-9939-01-06094-4zbMath0985.91020MaRDI QIDQ2759032
Publication date: 10 December 2001
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
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Related Items (2)
An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps ⋮ Weak Orlicz spaces: some basic properties and their applications to harmonic analysis
Cites Work
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- Complete markets with discontinuous security price
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- On martingale measures when asset returns have unpredictable jumps
- The Second Fundamental Theorem of Asset Pricing
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
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