ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY

Xiuli Chao;Indrajit Barhan

系统科学与复杂性(英文) ›› 2002, Vol. 15 ›› Issue (4) : 337-352.

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系统科学与复杂性(英文) ›› 2002, Vol. 15 ›› Issue (4) : 337-352.
论文

ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY

    Xiuli Chao(1),Indrajit Barhan(2)
作者信息 +

ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY

    Xiuli Chao(1),Indrajit Barhan(2)
Author information +
文章历史 +

摘要

This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps.

Abstract

This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps.

关键词

Incomplete market / jump-diffusion proces

Key words

Incomplete market / jump-diffusion process / point processes / stochastic intensity

引用本文

导出引用
Xiuli Chao , Indrajit Barhan. ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY. 系统科学与复杂性(英文), 2002, 15(4): 337-352
Xiuli Chao , Indrajit Barhan. ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY. Journal of Systems Science and Complexity, 2002, 15(4): 337-352
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