A stochastic model for the financial market with discontinuous prices (Q1815751)
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scientific article; zbMATH DE number 947011
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| English | A stochastic model for the financial market with discontinuous prices |
scientific article; zbMATH DE number 947011 |
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A stochastic model for the financial market with discontinuous prices (English)
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3 March 1997
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Summary: This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.
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contingent claim valuation
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representation of martingales
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stochastic integral equation
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option pricing
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portfolio processes
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0.7640600800514221
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