Incompleteness of markets driven by a mixed diffusion
AbstractAn incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 4 (2000)
Issue (Month): 2 ()
Note: received: July 1997; final version received: April 1999
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Web page: http://www.springerlink.com/content/101164/
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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