Abstract
After having studied continuous financial markets, this chapter applies the benchmark approach to markets that exhibit jumps due to event risk. It generalizes several results previously obtained to the case of jump diffusion markets (JDMs).
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© 2006 Springer-Verlag Berlin Heidelberg
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Platen, E., Heath, D. (2006). Markets with Event Risk. In: A Benchmark Approach to Quantitative Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-47856-0_14
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DOI: https://doi.org/10.1007/978-3-540-47856-0_14
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-26212-1
Online ISBN: 978-3-540-47856-0
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