Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; … - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 3009-3030
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time τ. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in...
