A stochastic volatility model with jumps
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Publication:6476902
arXivmath/0603527MaRDI QIDQ6476902FDOQ6476902
Authors: Youssef El-Khatib 
Publication date: 22 March 2006
Abstract: We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in infinitely many equivalent martingale measures. We find the set equivalent martingale measures, and we hedge by minimizing the variance using Malliavin calculus.
Stochastic calculus of variations and the Malliavin calculus (60H07) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)
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