Lévy term structure models: No-arbitrage and completeness
The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique. Copyright Springer-Verlag Berlin/Heidelberg 2005
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Volume (Year): 9 (2005)
Issue (Month): 1 (January)
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References listed on IDEAS
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World Scientific Publishing Co. Pte. Ltd..
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