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Complete markets with discontinuous security price |
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| Authors: | Michael Dritschel Philip Protter |
| Institution: | (1) Demartment of Statistics, Purdue University, West Lafayette, IN 47907, USA , US;(2) Departments of Mathematics and Statistics, Purdue University, 1395 Mathematical Sciences Building, West Lafayette, IN 47907, USA (e-mail: protter@math.purdue.edu) , US |
| Abstract: | |
| Keywords: | :Market completeness arbitrage stochastic calculus Azéma martingales equivalent martingale measure weak convergence hedging strategies Malliavin calculus option pricing Black-Scholes models contingent claims martingale central limit theorem JEL classification: G12 G13 Mathematics Subject Classification (1991):90A09 60H10 60G44 60H07 |
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