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Sufficient Poisson jump diffusion market models revisited |
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| Authors: | Gheorghe Stoica |
| Affiliation: | MITACS Centre of Excellence, and Department of Mathematics, University of British Columbia, Vancouver, British Columbia, Canada V6T 1Z2 |
| Abstract: | Motivated by financial market modeling with spike-like jumps spot prices, we present a simple characterisation of the complete two-dimensional Poisson jump-diffusion market models with possibly discontinuous and degenerate coefficients, extending the standard no-arbitrage and completeness working hypothesis for such markets. |
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