Mean correcting martingale measure for exponential semimartingale market models

zbMATH Open1449.60085MaRDI QIDQ5209067FDOQ5209067

Authors: Gang Yang, Luogen Yao, Xiangqun Yang 

Publication date: 22 January 2020

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zbMATH Keywords

option pricingsemimartingalemean correcting martingale measure

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Generalizations of martingales (60G48) Random measures (60G57)

Cited In (4)

• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• Expensive martingales
• The mean correcting martingale measures for exponential additive processes
• Mean correcting transform method of martingale measures for geometric Lévy processes and its application

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