A stochastic model for the financial market with discontinuous prices.

Minkova, Leda D.

Displaying similar documents to “A stochastic model for the financial market with discontinuous prices.”

Introduction to Stopping Time in Stochastic Finance Theory

Peter Jaeger (2017)

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We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an example with some given filtration. Stopping time is very important for stochastic finance. A stopping time is the moment, where a certain event occurs ([7], p.372) and can be used together with...

On changes of measure in stochastic volatility models.

Wong, Bernard, Heyde, C.C. (2006)

Journal of Applied Mathematics and Stochastic Analysis

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A remark on stochastic integration

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The Japanese contributions to martingale theory.

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Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations

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Robust option replication for a Black-Scholes model extended with nondeterministic trends.

Schoenmakers, John G.M., Kloeden, Peter E. (1999)

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Electronic Communications in Probability [electronic only]

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Wong, Bernard (2009)

Journal of Applied Mathematics and Stochastic Analysis

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Multiple stochastic integrals. A counter example

Edwin Perkins (1985)

Séminaire de probabilités de Strasbourg

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State tameness: a new approach for credit constrains.

Londoño, Jaime A. (2004)

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Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)

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The $d X (t) = X b (X) d t + X σ (X) d W$ equation and financial mathematics. I

Josef Štěpán, Petr Dostál (2003)

Kybernetika

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The existence of a weak solution and the uniqueness in law are assumed for the equation, the coefficients $b$ and $σ$ being generally $C (ℝ^{+})$ -progressive processes. Any weak solution $X$ is called a $(b, σ)$ -stock price and Girsanov Theorem jointly with the DDS Theorem on time changed martingales are applied to establish the probability distribution $μ_{σ}$ of $X$ in $C (ℝ^{+})$ in the special case of a diffusion volatility $σ (X, t) = \tilde{σ} (X (t)) .$ A martingale option pricing method is presented.