Hedge Portfolios in Markets with Price Discontinuities
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References listed on IDEAS
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More about this item
Keywordsincomplete markets; equivalent martingale measure; compound Poisson processes; Radon-Nikodym derivative; multi-asset options; integro-partial differential equation;
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-05 (All new papers)
- NEP-BEC-2008-05-05 (Business Economics)
- NEP-FMK-2008-05-05 (Financial Markets)
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