A Model with Interacting Assets Driven by Poisson Processes
Authors:
S. Albeverio a;
M. Schmitz b;
V. Steblovskaya c;
K. Wallbaum d
| Affiliations: | a Institut f r Angewandte Mathematik, Universit t Bonn, Bonn, Germany |
b Tillinghast Tower Perrin, K ln, Germany |
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| c Department of Mathematical Science, Bentley College, Waltham, Massachusetts, USA | |
| d Allianz Lebensversicherungs AG, Stuttgart, Germany |
DOI:
10.1080/07362990500397806
Publication Frequency:
6 issues per year
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Abstract
An extension with noise given by Poisson processes of a model of financial market with several assets that are interacting, i.e., influencing each other (even in the absence of noise) is given. We present explicit formulae for the stock price process as well as for the prices of European multi-asset contingent claims based on a residual risk minimization approach. We also provide an explicit hedging formula.
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| Keywords: Hedging; Incomplete markets; Interacting assets; Option pricing; Poisson processes; Residual risk; Self-financing strategies |
| Mathematics Subject Classification: 60H40; 60J65; 60J75; 62P05; 91B24 |
| view references (19) : view citations |

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r Angewandte Mathematik, Universit
t Bonn, Bonn, Germany
ln, Germany
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