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Proceedings of the American Mathematical Society

Published by the American Mathematical Society since 1950, Proceedings of the American Mathematical Society is devoted to shorter research articles in all areas of pure and applied mathematics.

ISSN 1088-6826 (online) ISSN 0002-9939 (print)

The 2020 MCQ for Proceedings of the American Mathematical Society is 0.85.

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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.
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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