Abstract
AbstractWe consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows shot-noise and Hawkes processes. In this framework, we discuss the Esscher martingale measure where the conditions for its existence are detailed. This generalizes certain relationships not yet encountered in the literature.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability