A Model with Interacting Assets Driven by Poisson Processes

DOI10.1080/07362990500397806zbMath1138.91416OpenAlexW2026178375MaRDI QIDQ3375546

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Publication date: 14 March 2006

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

Full work available at URL: https://doi.org/10.1080/07362990500397806

zbMATH Keywords

hedgingoption pricingincomplete marketsPoisson processesresidual riskinteracting assetsself-financing strategies

Mathematics Subject Classification ID

Related Items (4)

The volatility target effect in structured investment products with capital protection ⋮ Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

Cites Work

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• Risk-neutral valuation: Pricing and hedging of financial derivatives
• On the range of options prices
• A model of financial market with several interacting assets. Complete market case
• Quasi-invariant measures and irreducible representations of the inductive limit of special linear groups
• Option pricing when underlying stock returns are discontinuous

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