Completion of a Lévy market by power-jump assets

DOI10.1007/S00780-004-0139-2zbMath1063.91021OpenAlexW2033242254MaRDI QIDQ1776029

Wim Schoutens, David Nualart, José Manuel Corcuera

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0139-2

zbMATH Keywords

moment problemorthogonal polynomialsmartingalesmarket modelsarbitrage

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Utility theory (91B16) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (17)

Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ A Note on Market Completeness with American Put Options ⋮ Discrete time approximation of BSDEs driven by a Lévy process ⋮ MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES ⋮ Unnamed Item ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ Risk-neutral compatibility with option prices ⋮ Dynamic complex hedging in additive markets ⋮ Some stability results of optimal investment in a simple Lévy market ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ The explicit chaotic representation of the powers of increments of Lévy processes ⋮ On solutions to backward stochastic partial differential equations for Lévy processes ⋮ A note on chaotic and predictable representations for Itô–Markov additive processes ⋮ Moment swaps ⋮ Enlargement of filtration and predictable representation property for semi-martingales ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models ⋮ APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES

This page was built for publication: Completion of a Lévy market by power-jump assets