A Model with Interacting Assets Driven by Poisson Processes
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Publication:3375546
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
hedging; option pricing; incomplete markets; Poisson processes; residual risk; interacting assets; self-financing strategies
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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