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Sufficient Poisson jump diffusion market models revisited
Author(s):
Gheorghe
Stoica
Journal:
Proc. Amer. Math. Soc.
130
(2002),
819-824.
MSC (2000):
Primary 91B26, 91B70;
Secondary 60G44, 60J75
Posted:
June 21, 2001
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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:
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
Posted:
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 of article:
Copyright
2001,
American Mathematical Society
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