RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS
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Publication:5305594
DOI10.1017/S0269964809990131zbMath1186.91239MaRDI QIDQ5305594
Publication date: 22 March 2010
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Generalizations of martingales (60G48) Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Utility indifference valuation for jump risky assets ⋮ UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ⋮ Stochastic control methods: Hedging in a market described by pure jump processes
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