Complete markets with discontinuous security price

Philip Protter () and Michael Dritschel
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Philip Protter: Departments of Mathematics and Statistics, Purdue University, 1395 Mathematical Sciences Building, West Lafayette, IN 47907, USA Manuscript
Michael Dritschel: Demartment of Statistics, Purdue University, West Lafayette, IN 47907, USA

Finance and Stochastics, 1999, vol. 3, issue 2, 203-214

Abstract: A parameterized family of financial market models is presented. These models have jumps intrinsic to the price processes yet have strict completeness, equivalent martingale measures, and no arbitrage. For each value of the parameter $\beta (-2\leq\beta

Keywords: Market completeness; arbitrage; stochastic calculus; AzÊma martingales; equivalent martingale measure; weak convergence; hedging strategies; Malliavin calculus; option pricing; Black-Scholes models; contingent claims; martingale central limit theorem (search for similar items in EconPapers)
Date: 1999-01-29
Note: received: April 1997; final version received: March 1998
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