The European options hedge perfectly in a Poisson-Gaussian stock market model
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Publication:4551201
DOI10.1080/13504860210148241zbMath1035.91034MaRDI QIDQ4551201
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Publication date: 5 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860210148241
option pricing; Poisson process; complete markets; jump-diffusion models; absence of arbitrage; \(t\)-basis
Related Items
Options Prices in Incomplete Markets, Nonparametric estimation of jump characteristics under market microstructure noise, A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework, Uniqueness of the Solution to a Difference-Partial Differential Equation for Finance
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