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~person:"KOHLMANN, MICHAEL"
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Compatible bond-stock market
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common equivalent martingale measure (CEMM)
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KOHLMANN, MICHAEL
Kohlmann, Michael
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XIONG, DEWEN
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Xiong, Dewen
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International Journal of Theoretical and Applied Finance (IJTAF)
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THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS
XIONG, DEWEN
;
KOHLMANN, MICHAEL
- In:
International Journal of Theoretical and Applied …
14
(
2011
)
05
,
pp. 723-755
$H \in L^2(\mathscr{F}_{T^*})$ is solved by deriving an explicit solution of the optimal
measure-valued
strategy
and the …
Persistent link: https://www.econbiz.de/10009245354
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