Equivalent Martingale Measures and Lévy Processes
AbstractIn 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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Bibliographic InfoPaper provided by Economics Research Group, IBMEC Business School - Rio de Janeiro in its series IBMEC RJ Economics Discussion Papers with number 2005-07.
Date of creation: 30 Nov 2005
Date of revision:
Lévy Processes; Equivalent Martingale Measures;
Other versions of this item:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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