ALTMANN, TIMO; SCHMIDT, THORSTEN; STUTE, WINFRIED - In: International Journal of Theoretical and Applied … 11 (2008) 01, pp. 87-106
abrupt changes caused by jumps may fade away as time goes by. This model is incomplete. We derive the minimal martingale … measure in discrete and continuous time and discuss the associated hedging strategy. Finally, a simulation study is included …