Minimal martingale measures for jump diffusion processes

Journal of Applied Probability

Volumn 41, Issue 1, 2004, Pages 263-270

  Arai, Takuji ^a  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

Author keywords

Incomplete market; Jump diffusion process; Locally risk minimizing; Minimal martingale measure

Indexed keywords

EID: 2442575109     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1077134683     Document Type: Article

References (8)

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