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The minimal entropy martingale measures for geometric Lévy processes

✍ Scribed by Tsukasa Fujiwara; Yoshio Miyahara

Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
253 KB
Volume
7
Category
Article
ISSN
0949-2984

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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 equiv