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Equivalent Martingale Measures and Lévy Processes

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  • José Fajardo

    (IBMEC Business School - Rio de Janeiro)

Abstract

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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File URL: http://professores.ibmecrj.br/erg/dp/papers/dp200507.pdf
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Bibliographic Info

Paper provided by Economics Research Group, IBMEC Business School - Rio de Janeiro in its series IBMEC RJ Economics Discussion Papers with number 2005-07.

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Date of creation: 30 Nov 2005
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Handle: RePEc:ibr:dpaper:2005-07

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Keywords: Lévy Processes; Equivalent Martingale Measures;

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  1. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  2. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December.
  3. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.
  4. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68.
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