The European options hedge perfectly in a Poisson-Gaussian stock market model

DOI10.1080/13504860210148241zbMath1035.91034OpenAlexW1997763496MaRDI QIDQ4551201

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Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860210148241

zbMATH Keywords

option pricingPoisson processcomplete marketsjump-diffusion modelsabsence of arbitrage\(t\)-basis

Mathematics Subject Classification ID

Related Items

A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework ⋮ Options Prices in Incomplete Markets ⋮ Uniqueness of the Solution to a Difference-Partial Differential Equation for Finance ⋮ Nonparametric estimation of jump characteristics under market microstructure noise

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Point processes and queues. Martingale dynamics
• Martingales and stochastic integrals in the theory of continuous trading
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A Characterization of Complete Security Markets On A Brownian Filtration¹
• Bond Market Structure in the Presence of Marked Point Processes
• Option pricing when underlying stock returns are discontinuous

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