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There is a strong evidence that most of financial variables are better described by a combination of difusion and jump processes. Considering such evidence, researchers have studied security market models with jumps, in particular, in the context of option pricing. In most of their models, jump...
Persistent link: https://www.econbiz.de/10010263366
In Kusuda [45], we developed equilibrium analysis in security market economy with jump-Wiener information where no finite number of securities can complete markets. Assuming approximately complete markets (Björk et al. [11] [12]) in which a continuum of bonds are traded and any contingent claim...
Persistent link: https://www.econbiz.de/10010263367