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• W3021371330 abstract "Abstract Under few technical assumptions and allowing for the absence of an equivalent martingale measure, we show how to price and hedge in a sequence of incomplete markets driven by Wiener noise and a marked point process. We investigate the structure of market prices of risk as markets become approximately complete and consider the limits of traded securities, characterizing explicitly the growth optimal portfolio and investigating arbitrage and diversification in such markets." @default.
• W3021371330 created "2020-05-13" @default.
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• W3021371330 date "2005-09-01" @default.
• W3021371330 modified "2023-09-24" @default.
• W3021371330 title "A General Benchmark Model for Stochastic Jump Sizes" @default.
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• W3021371330 doi "https://doi.org/10.1080/07362990500187066" @default.
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