𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A note on the mean correcting martingale measure for geometric Lévy processes

✍ Scribed by Luogen Yao; Gang Yang; Xiangqun Yang

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
217 KB
Volume
24
Category
Article
ISSN
0893-9659

No coin nor oath required. For personal study only.

✦ Synopsis

A martingale measure is constructed by using a mean correcting transform for the geometric Lévy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Lévy process, there exists a continuous Gaussian part. Although this measure cannot be equivalent to a physical probability for a pure jump Lévy process, we show that a European call option price under this measure is still arbitrage free.

📜 SIMILAR VOLUMES

The trace of a one-dimensional Markov pr
The trace of a one-dimensional Markov process with Lévy measure
✍ Heidrun Seidel 📂 Article 📅 1980 🏛 John Wiley and Sons 🌐 English ⚖ 565 KB

The trace of a one-dimensional MARHOV process with LBVY measure By HEIDRUN SEIDEL of Dresden (Eingegangen am 10. 10. 1979) Q 1. Introduction Let X = ( X t , X t , P,) be a right-continuous FELLER process on the interval [O, I] with infinitesimal generator $ of the form (1.1) gm:, = D,DJ(x) + b ( 4 f