Sufficient Poisson jump diffusion market models revisited
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- by Gheorghe Stoica PDF
- Proc. Amer. Math. Soc. 130 (2002), 819-824 Request permission
Abstract:
Motivated by financial market modeling with spike-like jumps spot prices, we present a simple characterisation of the complete two-dimensional Poisson jump-diffusion market models with possibly discontinuous and degenerate coefficients, extending the standard no-arbitrage and completeness working hypothesis for such markets.References
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Additional Information
- Gheorghe Stoica
- Affiliation: MITACS Centre of Excellence, and Department of Mathematics, University of British Columbia, Vancouver, British Columbia, Canada V6T 1Z2
- Address at time of publication: Department of Mathematics, Statistics and Computer Science, University of New Brunswick, PO Box 5050, Saint John, New Brunswick, Canada E2L 4L5
- Email: stoica@unbsj.ca
- Received by editor(s): February 16, 2000
- Received by editor(s) in revised form: August 11, 2000
- Published electronically: June 21, 2001
- Additional Notes: The author is indebted to an anonymous referee and to the Probability Editor, whose remarks improved the present version of the note.
- Communicated by: Claudia M. Neuhauser
- © Copyright 2001 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 130 (2002), 819-824
- MSC (2000): Primary 91B26, 91B70; Secondary 60G44, 60J75
- DOI: https://doi.org/10.1090/S0002-9939-01-06094-4
- MathSciNet review: 1866037