Equivalent martingale measures for Lévy-driven moving averages and related processes

Basse-O’Connor, Andreas, Mikkel Slot Nielsen and Jan Pedersen

Stochastic Processes and their Applications, 2018, vol. 128, issue 8, 2538-2556

Abstract: In the present paper we obtain sufficient conditions for the existence of equivalent local martingale measures for Lévy-driven moving averages and other non-Markovian jump processes. The conditions that we obtain are, under mild assumptions, also necessary. For instance, this is the case for moving averages driven by an α-stable Lévy process with α∈(1,2].

Keywords: Equivalent local martingale measures; Moving averages; Lévy processes; Stochastic exponentials; Infinite divisibility (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:8:p:2538-2556

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DOI: 10.1016/j.spa.2017.09.022

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