Analysis of incomplete stock market with jump-diffusion uncertainty

zbMATH Open1071.91016MaRDI QIDQ1868950FDOQ1868950

Authors: Xiuli Chao, Indrajit Bardhan 

Publication date: 2002

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

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zbMATH Keywords

change of measureutility maximizationrisk-neutral measurestochastic intensity

Mathematics Subject Classification ID

Cited In (5)

• Handling missing prices in a thinly traded stock market: Implications for the specification of event study methods
• Some possible stock price distributions under incompleteness of the market
• A General Benchmark Model for Stochastic Jump Sizes
• Incomplete financial markets and jumps in asset prices
• Equilibrium market under uncertainty

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