Open AccessThe minimal martingale measure for the price process with Poisson shot noise jumps
Author(s) -
Jun Yan
Publication year - 2011
Publication title -
communications on stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 10
eISSN - 2688-6669
pISSN - 0973-9599
DOI - 10.31390/cosa.5.4.04
Subject(s) - shot noise , poisson process , martingale (probability theory) , martingale pricing , measure (data warehouse) , poisson distribution , mathematics , econometrics , statistics , martingale difference sequence , computer science , data mining , telecommunications , detector