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Minimal martingale measures for jump diffusion processes

Part of: Markov processes Mathematical economics

Published online by Cambridge University Press:  14 July 2016

Takuji Arai
Takuji Arai*
Affiliation:
Tokyo University of Science
*
∗ Postal address: Department of Information Sciences, Tokyo University of Science, Noda, Chiba, 278-8510, Japan. Email address: [email protected]
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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.

Keywords

Minimal martingale measureincomplete marketjump diffusion processlocally risk minimizing

MSC classification

Primary: 60J75: Jump processes
Secondary: 91B70: Stochastic models
Type
Short Communications
Information
Journal of Applied Probability , Volume 41 , Issue 1 , March 2004 , pp. 263 - 270
Copyright
Copyright © Applied Probability Trust 2004 

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