Equivalent Martingale Measures and Lévy Processes

José Fajardo ()

No 2005-07, IBMEC RJ Economics Discussion Papers from Economics Research Group, IBMEC Business School - Rio de Janeiro

Abstract: 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).

Keywords: Lévy Processes; Equivalent Martingale Measures (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2005-11-30
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Equivalent Martingale Measures and Lévy Processes (2006)
Working Paper: Equivalent Martingale Measures and Lévy Processes (2004)
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