Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
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Publication:424343
DOI10.1016/j.na.2009.02.049zbMath1238.91132MaRDI QIDQ424343
Publication date: 31 May 2012
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2009.02.049
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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