| ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY |
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| 作者姓名： | Xiuli Chao |
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| 作者单位： | Xiuli Chao(Department of Industrial Engineering and Interdisciplinary Operations Research Programs North Carolina State University Raleigh，NC 27695-7906，USA)Indrajit Bardhan (Goldman Sachs & Company 85 Broad Street，New York，NY 10004，USA) |
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| 基金项目： | This research is partially supported by NSF under DMI-9908294 and DMI-0196084. |
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| 摘 要： | This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps. The space of risk-neutral measures that are associated with the market is identified and related to fictitious completions. The construction of replicating portfolios is discussed, and convex duality methods are used to prove existence of optimal consumption and investment policies for a problem of utility maximization.
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ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY |
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| Xiuli Chao.ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY[J].Journal of Systems Science and Complexity,2002(4). |
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| Authors: | Xiuli Chao |
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| Abstract: | This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps. The space of risk-neutral measures that are associated with the market is identified and related to fictitious completions. The construction of replicating portfolios is discussed, and convex duality methods are used to prove existence of optimal consumption and investment policies for a problem of utility maximization. |
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| Keywords: | Incomplete market jump-diffusion process point processes stochastic intensity risk-neutral measure change of measure and utility maximization |
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