A general benchmark model for stochastic jump sizes

被引:6
作者
Christensen, MM
Platen, E
机构
[1] Univ So Denmark, Dept Math & Comp Sci, Dept Accounting & Finance, DK-5230 Odense, Denmark
[2] Univ Technol Sydney, Sch Finance & Econ, Dept Math Sci, Sydney, NSW 2007, Australia
关键词
approximate market completeness; arbitrage; benchmark model; growth optimal portfolio; marked point process; market price of risk;
D O I
10.1080/07362990500187066
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Under few technical assumptions and allowing for the absence of an equivalent martingale measure, we show how to price and hedge in a sequence of incomplete markets driven by Wiener noise and a marked point process. We investigate the structure of market prices of risk as markets become approximately complete and consider the limits of traded securities, characterizing explicitly the growth optimal portfolio and investigating arbitrage and diversification in such markets.
引用
收藏
页码:1017 / 1044
页数:28
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