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The minimal martingale measure for the price process with Poisson shot noise jumps - MaRDI portal

The minimal martingale measure for the price process with Poisson shot noise jumps

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Publication:2787500

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zbMATH Open1331.60132MaRDI QIDQ2787500

Publication date: 4 March 2016

Published in: Communications on Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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