Incompleteness of markets driven by a mixed diffusion
An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.
Volume (Year): 4 (2000)
Issue (Month): 2 ()
|Note:||received: July 1997; final version received: April 1999|
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|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|