Lévy term structure models: no-arbitrage and completeness (Q1776027): Difference between revisions
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Revision as of 21:36, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lévy term structure models: no-arbitrage and completeness |
scientific article |
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Lévy term structure models: no-arbitrage and completeness (English)
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20 May 2005
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The term structure models driven by Lévy processes are considered from the point of view of their no-arbitrage property and completeness. The authors take a driving process that is not necessarily a Lévy process but which has independent increments and absolutely continuous characteristics. Its natural name is `non-homogeneous Lévy process'. Classes of equivalent martingale and local martingale measures for various filtrations are characterized. A somewhat surprising result is that in the case of one-dimensional driving process a Black-Scholes type situation arises: there is a unique equivalent martingale measure.
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term structure
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Lévy process
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no-arbitrage
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completeness
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