DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1

DOI10.1111/J.1467-9965.1993.TB00046.XzbMATH Open0884.90021OpenAlexW2029920538MaRDI QIDQ4372016FDOQ4372016

Authors: Robert J. Elliott, David B. Colwell 

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00046.x

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zbMATH Keywords

martingale representationequivalent martingale measureminimal martingale measureMarkov diffusion with jumpslocalrisk-minimizing trading strategynon-attainable contingent claim

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Economic growth models (91B62)

Cites Work

• Title not available (Why is that?)
• Martingales and arbitrage in multiperiod securities markets
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• Martingales and stochastic integrals in the theory of continuous trading
• Option hedging for semimartingales
• Martingale densities for general asset prices

Cited In (29)

• Characterizing attainable claims: a new proof
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
• Hedging strategies for energy derivatives
• A stochastic flows approach for asset allocation with hidden economic environment
• Local risk-minimization with longevity bonds
• Title not available (Why is that?)
• Stochastic Flows and Jump-Diffusions
• On pricing and hedging options in regime-switching models with feedback effect
• \(L^{2}\)-approximating pricing under restricted information
• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Option pricing for pure jump processes with Markov switching compensators
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• Local risk-minimization under Markov-modulated exponential Lévy model
• Sufficient Poisson jump diffusion market models revisited
• Minimal martingale measure on a finite probability space
• Jumping hedges on the strength of the Mellin transform
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• Bounds on mean variance hedging in jump diffusion
• Markovian forward-backward stochastic differential equations and stochastic flows
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• The Föllmer-Schweizer decomposition: comparison and description
• Exchange Options Under Jump-Diffusion Dynamics
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• A note on differentiability in a Markov chain market using stochastic flows
• Utility based pricing and hedging of jump diffusion processes with a view to applications
• Optimal stopping problems for asset management
• Martingale representation and admissible portfolio process with regime switching
• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model

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