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Tagged with jump-diffusion merton-model
3
questions with no upvoted or accepted answers
6
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0
answers
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Formal proof market incompleteness under jump diffusion
Does anyone have formal proof of markets incompleteness under jump diffusion ?
I am familiar with the intuitive approach as mentioned in Tankov (delta), yet I am looking for a formal approach and ...
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2
votes
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The distribution of the jump diffusion process
In the Merton jump diffusion model the process of the share price can be expressed as $$S_{t}=S_{0}\cdot\exp\left\{ X_{t}\right\} ,$$ where $$X_{t}=\mu t+\sigma W_{t}+\sum_{i=1}^{N_{t}}Y_{i}.$$
Here $...
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2
votes
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Hedging jump models with a infinite number of derivatives
First of all, I inform you that I am not a financial mathematician and have vague knowledge about an incomplete market.
Stochastic volatility models are incomplete so derivatives cannot be ...
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