TY - JOUR
T1 - Minimal martingale measures for jump diffusion processes
AU - Arai, Takuji
PY - 2004/3/1
Y1 - 2004/3/1
N2 - 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.
AB - 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.
KW - Incomplete market
KW - Jump diffusion process
KW - Locally risk minimizing
KW - Minimal martingale measure
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U2 - 10.1239/jap/1077134683
DO - 10.1239/jap/1077134683
M3 - Article
AN - SCOPUS:2442575109
VL - 41
SP - 263
EP - 270
JO - Journal of Applied Probability
JF - Journal of Applied Probability
SN - 0021-9002
IS - 1
ER -