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Incompleteness of markets driven by a mixed diffusion

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Abstract.

An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.

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Authors and Affiliations

  1. Equipe d'analyse et probabilités, Université d'Evry Val d'Essonne, Boulevard des coquibus, F-91025 Evry Cedex, France (e-mail: bellamy@maths.univ-evry.fr; jeanbl@maths.univ-evry.fr), , , , , , FR

    N. Bellamy & M. Jeanblanc

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  1. N. Bellamy
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  2. M. Jeanblanc
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Manuscript received: July 1997; final version received: April 1999

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Bellamy, N., Jeanblanc, M. Incompleteness of markets driven by a mixed diffusion. Finance Stochast 4, 209–222 (2000). https://doi.org/10.1007/s007800050012

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  • DOI: https://doi.org/10.1007/s007800050012

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