Arbitrage-free pricing with diffusion-dependent jumps

DOI10.31390/JOSA.6.3.02MaRDI QIDQ6860757zbMATH OpenFDO

Authors Hamza A. Virk, Yihren Wu, Majnu John

Publication date 10 February 2026

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.6.3.02

zbMATH Keywords

arbitrage-free pricingequivalent martingale measurejump-diffusion process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Jump processes on general state spaces (60J76) Financial applications of other theories (91G80)

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