Complete markets with discontinuous security price
DOI10.1007/S007800050058zbMATH Open0930.91014DBLPjournals/fs/DritschelP99OpenAlexW2064341413WikidataQ57451944 ScholiaQ57451944MaRDI QIDQ1297922FDOQ1297922
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
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Malliavin calculusoption pricingweak convergencecontingent claimsBlack-Scholes modelequivalent martingale measurearbitragestochastic calculusmarket completenesshedging strategiesmartingale limit theoremAzema martingales
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
Cited In (15)
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- Volatility smile as relativistic effect
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- Numerical simulations for the pricing of options in jump diffusion markets
- On complete securities markets and the martingale property of securities prices
- A class of complete benchmark models with intensity-based jumps
- A partial introduction to financial asset pricing theory.
- A General Benchmark Model for Stochastic Jump Sizes
- HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
- Modeling credit risk with partial information.
- The chaotic-representation property for a class of normal martingales
- Stochastic control problems for systems driven by normal martingales
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