On martingale measures when asset returns have unpredictable jumps
From MaRDI portal
Publication:1363465
DOI10.1016/0304-4149(96)00061-0zbMATH Open0870.90016OpenAlexW1986560609MaRDI QIDQ1363465FDOQ1363465
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
Recommendations
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10) Financial applications of other theories (91G80)
Cites Work
- Title not available (Why is that?)
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- Hedging contingent claims with constrained portfolios
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Point processes and queues. Martingale dynamics
- Martingales and stochastic integrals in the theory of continuous trading
- Title not available (Why is that?)
- Martingale laws, densities and decomposition of Föllmer-Schweizer
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- 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
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Pricing options on securities with discontinuous returns
- Martingale Analysis for Assets with Discontinuous Returns
Cited In (8)
- Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach
- Sufficient Poisson jump diffusion market models revisited
- 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
- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
- Martingale Analysis for Assets with Discontinuous Returns
- Portfolio selection: a review
This page was built for publication: On martingale measures when asset returns have unpredictable jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1363465)
