Title: DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS<sup>1</sup>
Abstract: The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk‐minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.
Publication Year: 1993
Publication Date: 1993-07-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 59
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