Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models

Eckhard Platen (eckhard.platen@uts.edu.au) and Stefan Tappe

No 412, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper offers a systematic investigation on the existence of equivalent local martingale deators, which are multiplicative special semimartingales, in financial markets given by positive semimartingales. In particular, it shows that the existence of such deators can be characterized by means of the modied semimartingale characteristics. Several examples illustrate our results. Furthermore, we provide interpretations of the deators from an economic point of view.

Keywords: Equivalent local martingale deator; multiplicative special semimartingale; market price of risk; jump-diusion model (search for similar items in EconPapers)
Pages: 42 pages
Date: 2020-06-01
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https://www.uts.edu.au/sites/default/files/article/downloads/rp412.pdf (application/pdf)

Related works:
Working Paper: Existence of equivalent local martingale deflators in semimartingale market models (2020)
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