Discontinuous Asset Prices And Non-Attainable Contingent Claims
AbstractThe price of a risky asset � is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of � at some time "T" may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk-minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure. Copyright 1993 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 3 (1993)
Issue (Month): 3 ()
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