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

DOI10.1016/J.NA.2009.02.049MaRDI QIDQ424343zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A guided tour through quadratic hedging approaches
• A partially observed ultra-high-frequency data model: risk-minimizing hedging
• Approximation pricing and the variance-optimal martingale measure
• Bond Market Structure in the Presence of Marked Point Processes
• Filtering on a partially observed ultra-high-frequency data model
• Filtering the histories of a partially observed marked point process
• I-divergence geometry of probability distributions and minimization problems
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• On the minimal martingale measure and the möllmer-schweizer decomposition
• Option pricing with a general marked point process.
• PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
• Quelques applications de la formule de changement de variables pour les semimartingales
• Risk minimization with incomplete information in a model for high-frequency data
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The variance-optimal martingale measure for continuous processes

Cited in

(7)

• 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
• Martingale measures in the market with restricted information
• Statistical causality and orthogonality of local martingales
• Explicit formulas for the minimal variance hedging strategy in a martingale case

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