Lévy term structure models: No-arbitrage and completeness

Ernst Eberlein (), Jean Jacod () and Sebastian Raible

Finance and Stochastics, 2005, vol. 9, issue 1, 67-88

Abstract: The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Term structures; Lévy processes; no-arbitrage; completeness (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (26)

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DOI: 10.1007/s00780-004-0138-3

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