Wealth optimization in an incomplete market driven by a jump-diffusion process

Author:

Bellamy Nadine

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference14 articles.

1. Martingale analysis for assets with discontinuous return;Bardhan;Mathematical of Operations Research,1995

2. Bellamy, N., 1999. Evaluation et couverture dans un marché dirigé par des processus discontinus. Thèse. Université d’Evry Val d’Essonne.

3. Incompleteness of markets driven by a mixed diffusion.;Bellamy;Finance and Stochastic,2000

4. Davis, M., 1997. Option pricing in incomplete markets. In: Demtser, M.H.A., Pliska, S.R. (Eds.), Mathematics of Derivative Securities. Publication of the Newton Institute, Cambridge University Press, Cambridge, pp. 216–227.

5. Fleming, W.H., Rishel, R., 1975. Deterministic and Stochastic Control. Springer, Berlin.

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