A Model with Interacting Assets Driven by Poisson Processes

DOI10.1080/07362990500397806MaRDI QIDQ3375546zbMATH OpenOpenAlexFDO

Authors

Publication date 14 March 2006

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990500397806

zbMATH Keywords

hedgingincomplete marketsinteracting assetsoption pricingPoisson processesresidual riskself-financing strategies

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

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• On the range of options prices
• Option pricing when underlying stock returns are discontinuous
• Quasi-invariant measures and irreducible representations of the inductive limit of special linear groups
• Risk-neutral valuation: Pricing and hedging of financial derivatives

Cited in

(7)

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• The volatility target effect in structured investment products with capital protection
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
• Asymptotic expansion for some local volatility models arising in finance
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• The European options hedge perfectly in a Poisson-Gaussian stock market model
• scientific article; zbMATH DE number 1897414 (Why is no real title available?)

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