Equivalent Martingale Measures and Lévy Processes
AbstractIn this paper we compute equivalent martingale measures when the asset price return is modeled by a LÃ©vy process. We follow the approach introduced by Gerber and Shiu (1994).
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Bibliographic InfoPaper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_61.
Date of creation: Oct 2004
Date of revision:
Other versions of this item:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-02 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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