Minimal martingale measure: pricing and hedging in a pure jump model under restricted information

DOI10.1016/j.na.2009.02.049zbMath1238.91132OpenAlexW1992325491MaRDI QIDQ424343

Paola Tardelli

Publication date: 31 May 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.02.049

zbMATH Keywords

filteringmarked point processesminimal martingale measurepricing under restricted information

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Statistical causality and orthogonality of local martingales

Cites Work

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