Minimal martingale measure: pricing and hedging in a pure jump model under restricted information

DOI10.1016/J.NA.2009.02.049zbMATH Open1238.91132OpenAlexW1992325491MaRDI QIDQ424343FDOQ424343

Authors: Paola Tardelli 

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

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zbMATH Keywords

filteringmarked point processesminimal martingale measurepricing under restricted information

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• A partially observed ultra-high-frequency data model: risk-minimizing hedging
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• Option pricing with a general marked point process.

Cited In (7)

• Explicit formulas for the minimal variance hedging strategy in a martingale case
• Martingale measures in the market with restricted information
• Statistical causality and orthogonality of local martingales
• Risk minimization with incomplete information in a model for high-frequency data
• M6—On Minimal Market Models and Minimal Martingale Measures
• Risk-neutral measures and pricing for a pure jump price process
• Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks

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