A general benchmark model for stochastic jump sizes

Taylor & Francis Inc
Publication Type:
Journal Article
Stochastic Analysis And Applications, 2005, 23 (5), pp. 1017 - 1044
Issue Date:
Full metadata record
Files in This Item:
Filename Description SizeFormat
2005000630.pdf1.14 MBAdobe PDF
Under few technical assumptions and allowing for the absence of an equivalent martingale measure, we show how to price and hedge in a sequence of incomplete markets driven by Wiener noise and a marked point process. We investigate the structure of market
Please use this identifier to cite or link to this item: