Markets with Event Risk

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 14 in A Benchmark Approach to Quantitative Finance, 2006, pp 513-549 from Springer

Abstract: Abstract After having studied continuous financial markets, this chapter applies the benchmark approach to markets that exhibit jumps due to event risk. It generalizes several results previously obtained to the case of jump diffusion markets (JDMs).

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-47856-0_14

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DOI: 10.1007/978-3-540-47856-0_14

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