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The Third Workshop on
A Shot Noise Model for Financial Assets
Ling Xu, University of Leipzig, Leipzig, Germany
Abstract
We propose a model for stock prices which allows for shot-noise
effects. This means that abrupt changes caused by jumps may fade away as
time goes by. This model is incomplete. We derive the minimal martingale
measure in continuous time and discuss the associated hedging strategy.
Finally, a simulation study is presented.