English, Article edition: A SHOT NOISE MODEL FOR FINANCIAL ASSETS TIMO ALTMANN; THORSTEN SCHMIDT; WINFRIED STUTE

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Bookmark: http://trove.nla.gov.au/version/83346
Physical Description
  • article
Language
  • English

Edition details

Title
  • A SHOT NOISE MODEL FOR FINANCIAL ASSETS
Author
  • TIMO ALTMANN
  • THORSTEN SCHMIDT
  • WINFRIED STUTE
Physical Description
  • article
Notes
  • In this article we propose and study a model for stock prices which allows for shot-noise effects. This means that 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 to show that our model is able to produce smile effects.
  • Shot-noise component, jump diffusion, minimal martingale measure
  • RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:87-106
Language
  • English
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