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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 2, Pages 317–334
DOI: https://doi.org/10.4213/tvp221 (Mi tvp221) 		 
This article is cited in 11 scientific papers (total in 11 papers)

On the Martingale Measures in Exponential Lévy Models

A. V. Selivanov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (1632 kB) Citations (11)
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DOI: https://doi.org/10.4213/tvp221
Abstract: We study the existence and uniqueness of martingale measures in the exponential Lévy models of the form $S_t=e^{X_t}$, $S_t=e^{X_{\tau_t}}$, where $X$ is a Lévy process and $\tau$ is an independent increasing process.
Keywords: fundamental theorem of asset pricing, exponential Lйvy model, martingale measure, sigma-martingale measure, uniformly integrable martingale measure.
Received: 03.02.2004
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 2, Pages 261–274
DOI: https://doi.org/10.1137/S0040585X97981032
Bibliographic databases:
Language: Russian
Citation: A. V. Selivanov, “On the Martingale Measures in Exponential Lévy Models”, Teor. Veroyatnost. i Primenen., 49:2 (2004), 317–334; Theory Probab. Appl., 49:2 (2005), 261–274
Citation in format AMSBIB
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\jour Theory Probab. Appl.
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  • https://doi.org/10.4213/tvp221
  • https://www.mathnet.ru/eng/tvp/v49/i2/p317
    • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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