Minimal martingale measures for jump diffusion processes

DOI10.1239/jap/1077134683zbMath1074.91012OpenAlexW2083062744MaRDI QIDQ4819453

Takuji Arai

Publication date: 24 September 2004

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

Full work available at URL: https://doi.org/10.1239/jap/1077134683

zbMATH Keywords

incomplete marketjump diffusion processminimal martingale measurelocally risk minimizing

Mathematics Subject Classification ID

Related Items (11)

On the structure of general mean-variance hedging strategies ⋮ Shot-noise processes and the minimal martingale measure ⋮ Robustness of quadratic hedging strategies in finance via Fourier transforms ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ A SHOT NOISE MODEL FOR FINANCIAL ASSETS ⋮ Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility ⋮ The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model ⋮ Mean Variance Hedging in a General Jump Model ⋮ The Mean-Variance Hedging in a Bond Market with Jumps ⋮ Quantification of Model Risk in Quadratic Hedging in Finance ⋮ Information on jump sizes and hedging

Cites Work

• Option hedging for semimartingales
• Pricing contingent claims on stocks driven by Lévy processes
• \(\mathcal E\)-martingales and their applications in mathematical finance
• On quadratic hedging in continuous time
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