Equivalent Martingale Measures and Lévy Processes

José Fajardo ()

Revista Brasileira de Economia - RBE, 2006, vol. 60, issue 4

Abstract: Neste trabalho calculamos as medidas martingalas equivalentes quando os retornos dos preços dos ativos sao modelados por um Processo de Lévy. Seguimos la formulação introduzida por Gerber e Shiu (1994).

Date: 2006
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Related works:
Working Paper: Equivalent Martingale Measures and Lévy Processes (2005)
Working Paper: Equivalent Martingale Measures and Lévy Processes (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:60:y:2006:i:4:a:961

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