A shot noise model for financial assets

International Journal of Theoretical and Applied Finance

Volumn 11, Issue 1, 2008, Pages 87-106

  Altmann, Timo ^a   Schmidt, Thorsten ^b   Stute, Winfried ^a  

^a JUSTUS LIEBIG UNIVERSITY   (Germany)

^b UNIVERSITY OF LEIPZIG   (Germany)

Author keywords

Jump diffusion; Minimal martingale measure; Shot noise component

Indexed keywords

EID: 43949110593     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024908004737     Document Type: Article

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