Equivalent Martingale Measures and Lévy Processes

In this paper we compute equivalent martingale measures when the asset price return is modeled by a Lévy process. We follow the approach introduced by Gerber and Shiu (1994).

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Year of publication:	2005-11-30
Authors:	Fajardo, José
Institutions:	IBMEC Business School - Rio de Janeiro
Subject:	Lévy Processes \| Equivalent Martingale Measures

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Extent:	application/pdf
Series:	IBMEC RJ Economics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2005-07
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005551019