The mean correcting martingale measures for exponential additive processes

DOI10.1007/S11766-016-3135-3zbMath1363.60072OpenAlexW2315531692MaRDI QIDQ320605

Gang Yang, Luo Gen Yao, Xiang-Qun Yang

Publication date: 6 October 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-016-3135-3

zbMATH Keywords

option pricingadditive processesmean correcting martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)

Cites Work

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• Lévy term structure models: no-arbitrage and completeness
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• A Discrete Time Equivalent Martingale Measure
• On the Existence of Minimax Martingale Measures
• Stochastic Volatility for Lévy Processes
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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