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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|Date of creation:||Oct 2004|
|Date of revision:|
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- Jing-zhi Huang & Liuren Wu, 2004.
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Finance Lab Working Papers
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