Article2004

Minimal martingale measures for jump diffusion processes

21 citations0/0 files storedJournal of Applied Probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

We consider an incomplete market model whose stock price fluctuation is given by a jump diffusion process. For this model, we calculate the density process of the minimal martingale measure. Also, we state the relation to a locally risk-minimizing strategy.

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References

1990Stochastic Integration and Differential Equations 1990Hedging of contingent claims under incomplete information 2014Stochastic Integration and Differential Equations : A New Approach 2010A Guided Tour through Quadratic Hedging Approaches 1991Option hedging for semimartingales 1999Pricing contingent claims on stocks driven by Lévy processes 2000On quadratic hedging in continuous time 1998${\scr E}$-martingales and their applications in mathematical finance

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2007Shot-noise processes and the minimal martingale measure

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