m-Double Poisson Lévy markets

DOI10.1080/14697688.2020.1747633zbMath1454.91213OpenAlexW3025611681MaRDI QIDQ5139259

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Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1747633

zbMATH Keywords

asymmetric informationoptimal portfoliomispricing\(m\)-double Poisson marketsinstantaneous centralized moments of returns

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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