IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v3y1999i2p203-214.html
   My bibliography  Save this article

Complete markets with discontinuous security price

Author

Listed:
  • 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)

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

Suggested Citation

  • Philip Protter & Michael Dritschel, 1999. "Complete markets with discontinuous security price," Finance and Stochastics, Springer, vol. 3(2), pages 203-214.
    • Handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:203-214
    Note: received: April 1997; final version received: March 1998
    as

    Download full text from publisher

    File URL: http://link.springer.de/link/service/journals/00780/papers/9003002/90030203.pdf
    Download Restriction: Access to the full text of the articles in this series is restricted
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
    2. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, August.
    3. Youssef El-Khatib & Abdulnasser Hatemi-J, 2013. "On option pricing in illiquid markets with jumps," Papers 1304.4690, arXiv.org.
    4. Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008. "Modeling Credit Risk With Partial Information," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590, World Scientific Publishing Co. Pte. Ltd..
    5. Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.
    6. Wing Yan Yip & Sofia Olhede & David Stephens, 2008. "Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market," Papers 0801.4941, arXiv.org, revised Oct 2008.
    7. Protter, Philip, 2001. "A partial introduction to financial asset pricing theory," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 169-203, February.
    8. Oblój, Jan & Yor, Marc, 2004. "An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale," Stochastic Processes and their Applications, Elsevier, vol. 110(1), pages 83-110, March.
    9. Kakushadze, Zura, 2017. "Volatility smile as relativistic effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 475(C), pages 59-76.
    10. Yip, Wing & Stephens, David & Olhede, Sofia, 2008. "Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market," MPRA Paper 11176, University Library of Munich, Germany.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:203-214. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.