A complete market model with Poisson and Brownian components
| Monique Jeanblanc |
|
Nicolas Privault |
| Université d'Evry |
|
Université de la Rochelle |
| Boulevard des Coquibus |
|
Avenue Marillac |
| 91025 Evry Cedex |
|
17042 La Rochelle Cedex 1 |
| France |
|
France |
Abstract:
We present a complete market model with jumps, using
a martingale constructed from a Brownian motion
and a Poisson process that are mutually excluding eachother.
The chaotic calculus relative to this martingale is
developed to obtain a Clark formula aimed at the
computation of hedging strategies.
Key words: Market completeness, normal martingales,
hedging strategies, Malliavin calculus, chaos representation property.
Mathematics Subject Classification (1991): 90A09, 60H30, 60H07, 60G44.
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