Sufficient Poisson jump diffusion market models revisited
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Cites work
- Complete markets with discontinuous security price
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
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- On martingale measures when asset returns have unpredictable jumps
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Pricing contingent claims on stocks driven by Lévy processes
- The second fundamental theorem of asset pricing
Cited in
(8)- Complete markets with discontinuous security price
- An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps
- The exp-UIV for markets with partial information and complete information
- Weak Orlicz spaces: some basic properties and their applications to harmonic analysis
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- m-Double Poisson Lévy markets
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