Incompleteness of markets driven by a mixed diffusion
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Papers math/0702435, arXiv.org.
- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"Some recent developments in stochastic volatility modelling,"
Taylor & Francis Journals, vol. 2(1), pages 11-23.
- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
- Xavier De Scheemaekere, 2009.
"Upper and lower bounds on dynamic risk indifference prices in incomplete markets,"
0909.3219, arXiv.org, revised Sep 2010.
- Xavier De Scheemaekere, 2010. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Working Papers CEB 10-044, ULB -- Universite Libre de Bruxelles.
- repec:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3 is not listed on IDEAS
- Erik Ekstrom & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Papers math/0601526, arXiv.org.
- Bellamy, Nadine, 2001. "Wealth optimization in an incomplete market driven by a jump-diffusion process," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 259-287, April.
- Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
- Mingxin Xu, 2006.
"Risk measure pricing and hedging in incomplete markets,"
Annals of Finance,
Springer, vol. 2(1), pages 51-71, January.
- Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 07 Mar 2006.
- Leonel Pérez-Hernández, 2005. "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," Department of Economics and Finance Working Papers EC200505, Universidad de Guanajuato, Department of Economics and Finance.
- Bergenthum Jan & Rüschendorf Ludger, 2008. "Comparison results for path-dependent options," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 53-72, March.
- Erik Ekstrom & Johan Tysk, 2005. "Properties of option prices in models with jumps," Papers math/0509232, arXiv.org, revised Nov 2005.
- Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
- Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24/2005, University of Verona, Department of Economics.
More about this item
KeywordsContingent claim valuation; incomplete model; martingale measures; Black and Scholes function;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:4:y:2000:i:2:p:209-222. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
We have no references for this item. You can help adding them by using this form .