A stochastic model for the financial market with discontinuous prices. (1996)

• Record Type: Journal Article
• Authors: Minkova, Leda D.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 9:Number 3(1996)
• Page Start: 271
• Page End: 280
• Publication Date: 1996
• Subjects: contingent claim valuation -- representation of martingales -- stochastic integral equation -- option pricing -- Portfolio processes; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953396000263
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.