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).
|Date of creation:||30 Nov 2005|
|Date of revision:|
|Contact details of provider:|| Postal: Av. Pres. Wilson 118, 11 andar, Rio de Janeiro, RJ, Brazil, 20030-020|
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