On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion

DOI10.1090/S0094-9000-09-00763-7zbMath1224.91138OpenAlexW2057199921MaRDI QIDQ5391373

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-09-00763-7

zbMATH Keywords

completion diffusion with jumps constrained market hedging and pricing different interest rates

Mathematics Subject Classification ID

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