Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process |
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| Authors: | Ralf Korn Frank Oertel Manfred Schäl |
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| Affiliation: | 1.Fachbereich Mathematik, Universit?t Kaiserslautern,;2.Dept. T.–Mathematik und Physik, IDP, Zürcher Hochschule Winterthur ZHW,;3.Institut für Angewandte Mathematik, Universit?t Bonn, |
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| Abstract: | In continuous time, we study a financial market which is free of arbitrage opportunities but incomplete under the physical probability measure P. Thus one has several choices of equivalent martingale measures. In the present paper, the (unique) martingale measure P * is studied which is defined by the concept of the numeraire portfolio. The choice of P * can be justified by a change of numeraire in place of a change of measure. Mathematics Subject Classification (2000): 90A09, 91B28, 91B62, 93E20, 62P05 Journal of Economic Literature Classification: G10, G12, G13 |
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