On the Martingale Measures in Exponential Lévy Models

DOI10.1137/S0040585X97981032MaRDI QIDQ5700632zbMATH OpenFDO

Authors A. V. Selivanov

Publication date 28 October 2005

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97981032

zbMATH Keywords

fundamental theorem of asset pricingsigma-martingale measureuniformly integrable martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited in

(10)

• On \(q\)-optimal martingale measures in exponential Lévy models
• Equivalent martingale measures for Lévy-driven moving averages and related processes
• Equivalent martingale measures for Lévy processes
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• Existence and uniqueness of martingale measures in exponential Lévy models
• Structure-preserving equivalent martingale measures for H-SII models
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
• Time series regression on integrated continuous-time processes with heavy and light tails
• On the Pricing of American Options in Exponential Lévy Markets
• A note on the mean correcting martingale measure for geometric Lévy processes

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