A Model with Interacting Assets Driven by Poisson Processes |
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| Authors: | S Albeverio M Schmitz V Steblovskaya |
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| Institution: | 1. Institut für Angewandte Mathematik, Universit?t Bonn , Bonn, Germany;2. Tillinghast Tower Perrin , K?ln, Germany;3. Department of Mathematical Science , Bentley College , Waltham, Massachusetts, USA |
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| Abstract: | 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 |
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