On the Martingale Measures in Exponential Lévy Models

DOI10.1137/S0040585X97981032zbMath1090.60047MaRDI QIDQ5700632

A. V. Selivanov

Publication date: 28 October 2005

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

fundamental theorem of asset pricingsigma-martingale measureuniformly integrable martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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