A note on the existence of unique equivalent martingale measures in a Markovian setting

Tina Hviid Rydberg ()
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Tina Hviid Rydberg: University of Aarhus, Department of Theoretical Statistics, Ny Munkegade Bldg. 530, DK-8000 århus C, Denmark

Finance and Stochastics, 1997, vol. 1, issue 3, 257 pages

Abstract: Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to problems in mathematical finance. Two examples of models for which the question of existence was unresolved are studied. By means of our results existence of a unique equivalent measure up to an explosion time is proved.

Keywords: Explosion time; hyperbolic diffusion processes; normal inverse Gaussian diffusion processes; stochastic differential equations; unique solution in law (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 1997
Note: received: May 1996; final version received: March 1997
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Citations: View citations in EconPapers (18)

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