A stochastic model for the financial market with discontinuous prices

DOI10.1155/S1048953396000263zbMATH Open0857.60061OpenAlexW2155801246MaRDI QIDQ1815751FDOQ1815751

L. D. Minkova

Publication date: 3 March 1997

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/47600

zbMATH Keywords

option pricingstochastic integral equationcontingent claim valuationrepresentation of martingalesportfolio processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Cited In (7)

• Purely discontinuous asset price processes
• A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities
• A finite discrete-time model of financial markets.
• Modelling of stock price changes: a real analysis approach
• A unified framework for robust modelling of financial markets in discrete time
• The financial value of knowing the distribution of stock prices in discrete market models
• Continuum Limit and Renormalization of Market Price Dynamics Based on PUCK Model

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