Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
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.
153-166
Korn, Ralf
3d04ad26-de74-4522-a9f9-3c5c9ab6c9cc
Oertel, Frank
5026be9a-a787-477f-bf94-23c72bd08ef5
Schäl, Manfred
53f0488b-db57-49e2-9da2-451145a45ede
November 2003
Korn, Ralf
3d04ad26-de74-4522-a9f9-3c5c9ab6c9cc
Oertel, Frank
5026be9a-a787-477f-bf94-23c72bd08ef5
Schäl, Manfred
53f0488b-db57-49e2-9da2-451145a45ede
Korn, Ralf, Oertel, Frank and Schäl, Manfred
(2003)
Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process.
Decisions in Economics and Finance, 26 (2), .
(doi:10.1007/s10203-003-0040-z).
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.
This record has no associated files available for download.
More information
Published date: November 2003
Organisations:
Mathematical Sciences
Identifiers
Local EPrints ID: 347168
URI: http://eprints.soton.ac.uk/id/eprint/347168
ISSN: 1127-1035
PURE UUID: 8c441a24-111e-4125-b71c-f668ac391a8c
Catalogue record
Date deposited: 17 Jan 2013 16:45
Last modified: 14 Mar 2024 12:45
Export record
Altmetrics
Contributors
Author:
Ralf Korn
Author:
Frank Oertel
Author:
Manfred Schäl
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics