Complete markets with discontinuous security price

DOI10.1007/S007800050058MaRDI QIDQ1297922zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Michael A. Dritschel, Philip Protter

Publication date 14 September 1999

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050058

zbMATH Keywords

Malliavin calculusoption pricingweak convergencecontingent claimsBlack-Scholes modelequivalent martingale measurearbitragestochastic calculusmarket completenesshedging strategiesmartingale limit theoremAzema martingales

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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• Modeling credit risk with partial information.
• Sufficient Poisson jump diffusion market models revisited
• Azéma's martingale
• A new market model in the large volatility case
• On complete securities markets and the martingale property of securities prices
• Numerical simulations for the pricing of options in jump diffusion markets
• Information, no-arbitrage and completeness for asset price models with a change point
• An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
• Volatility smile as relativistic effect
• On statistical indistinguishability of complete and incomplete discrete time market models
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• On option pricing in illiquid markets with jumps
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• Stochastic control problems for systems driven by normal martingales
• On pricing contingent claims in a two interest rates jump-diffusion model via market completions

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