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Proceedings of the American Mathematical Society
Proceedings of the American Mathematical Society
ISSN 1088-6826(online) ISSN 0002-9939(print)

 

Sufficient Poisson jump diffusion market models revisited


Author: Gheorghe Stoica
Journal: Proc. Amer. Math. Soc. 130 (2002), 819-824
MSC (2000): Primary 91B26, 91B70; Secondary 60G44, 60J75
Published electronically: June 21, 2001
MathSciNet review: 1866037
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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

DOI: http://dx.doi.org/10.1090/S0002-9939-01-06094-4
PII: S 0002-9939(01)06094-4
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
Article copyright: © Copyright 2001 American Mathematical Society