The mean comparison theorem cannot be extended to the Poisson case

DOI10.1239/jap/1101840565zbMath1062.60049OpenAlexW2021049100MaRDI QIDQ4660544

Mingxin Xu, Jan Večeř

Publication date: 4 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1101840565

zbMATH Keywords

comparison theoremPoisson process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Generalisation of Hajek's stochastic comparison results to stochastic sums, European and Asian Greeks for exponential Lévy processes

Cites Work

• Volatility misspecification, option pricing and superreplication via coupling
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