A Model with Interacting Assets Driven by Poisson Processes

DOI10.1080/07362990500397806zbMath1138.91416MaRDI QIDQ3375546

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Publication date: 14 March 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500397806

zbMATH Keywords

hedging; option pricing; incomplete markets; Poisson processes; residual risk; interacting assets; self-financing strategies

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H40: White noise theory

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Cites Work

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• Option pricing when underlying stock returns are discontinuous