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- W2346438958 abstract "We study the problem of pricing contingent claims in the presence of uncertainty about the timing and the size of a jump in the price of the underlying. We characterize the price of the claim as the minimal solution of a constrained BSDE and derive a pricing PDE in the special case of a Markovian market model. In a Black-Scholes market, explicit solutions are obtained." @default.
- W2346438958 created "2016-06-24" @default.
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- W2346438958 date "2016-01-01" @default.
- W2346438958 modified "2023-10-02" @default.
- W2346438958 title "Pricing Contingent Claims under Jump Uncertainty" @default.
- W2346438958 doi "https://doi.org/10.2139/ssrn.2773231" @default.
- W2346438958 hasPublicationYear "2016" @default.
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