Purely discontinuous asset price processes (Q2771102)

The chapter deals with the prices of assets. In contrast to other suggested models that generally view the assets' prices in highly liquid financial markets as continuous functions of time, it presents an alternative approach that synthesizes the study of high and low activity price movements using a class of purely discontinuous price processes. The chapter summarises first the, empirical findings on the study of both the statistical and risk neutral processes and observes the empirical need to consider discontinuous processes as relevant candidates. Then the suggested approach is introduced followed by a presentation of its successful application to the problem under study.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].