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

DOI10.1016/j.na.2009.02.049zbMath1238.91132OpenAlexW1992325491MaRDI QIDQ424343

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

zbMATH Keywords

filteringmarked point processesminimal martingale measurepricing under restricted information

Mathematics Subject Classification ID

Related Items (1)

Statistical causality and orthogonality of local martingales

Cites Work

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