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  • Search: subject:"M-VARIATE Poisson Process"
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Call Options 1 Completeness 1 Jump-DIFFUSION Stock Model 1 M-VARIATE Poisson Process 1 T-BASIS 1 Total Convergence 1 Volatility Coefficients 1
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Mancini, C. 1
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Applied Mathematical Finance 1
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The European options hedge perfectly in a Poisson-Gaussian stock market model
Mancini, C. - In: Applied Mathematical Finance 9 (2002) 2, pp. 87-102
It is shown that n + 1 European call options written on a stock S with different strike prices (or the stock and n calls) are non-redundant assets in a model for the stock driven by a Brownian motion and n independent Poisson processes. That extends the result obtained for n = 1 by Pham and...
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