On martingale measures when asset returns have unpredictable jumps

DOI10.1016/0304-4149(96)00061-0MaRDI QIDQ1363465zbMATHOpenAlexFDO

Authors Indrajit Bardhan, Xiuli Chao

Publication date 7 August 1997

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(96)00061-0

zbMATH Keywords

incomplete marketcontingent claimunpredictable jumps

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10) Financial applications of other theories (91G80)

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• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Hedging contingent claims with constrained portfolios
• Martingale Analysis for Assets with Discontinuous Returns
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Option pricing when underlying stock returns are discontinuous
• Point processes and queues. Martingale dynamics
• Pricing options on securities with discontinuous returns

Cited in

(10)

• Portfolio selection: a review
• Sufficient Poisson jump diffusion market models revisited
• Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
• Description martingale measures for a single evolution of risky assets
• A General Benchmark Model for Stochastic Jump Sizes
• Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
• Martingale Analysis for Assets with Discontinuous Returns
• The \(p\)-optimal martingale measure when there exist inaccessible jumps
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
• Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach

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