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On the Existence of Martingale Measures in Jump Diffusion Market Models - MaRDI portal

On the Existence of Martingale Measures in Jump Diffusion Market Models

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Publication:3195061

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DOI10.1142/9789814602075_0003zbMath1325.91051arXiv1511.08349OpenAlexW4230307030MaRDI QIDQ3195061

Wolfgang J. Runggaldier, Jacopo Mancin

Publication date: 21 October 2015

Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.08349

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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