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

被引：7
|
作者：
Yao, Luogen [1 ,2 ]
Yang, Gang [1 ]
Yang, Xiangqun [2 ]
机构：
[1] Hunan Business Coll, Dept Informat, Changsha 410205, Hunan, Peoples R China
[2] Hunan Normal Univ, Coll Math & Comp Sci, Changsha 410081, Hunan, Peoples R China
来源：
APPLIED MATHEMATICS LETTERS | 2011年 / 24卷 / 05期
关键词：
European call option; Equivalent martingale measure; Levy process; Mean correcting martingale measure;
D O I：
10.1016/j.aml.2010.11.011
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A martingale measure is constructed by using a mean correcting transform for the geometric Levy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Levy process, there exists a continuous Gaussian part. Although this measure cannot be equivalent to a physical probability for a pure jump Levy process, we show that a European call option price under this measure is still arbitrage free. (C) 2010 Elsevier Ltd. All rights reserved.
引用
收藏
页码：593 / 597
页数：5
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