Levy term structure models: No-arbitrage and completeness

被引：43
|
作者：
Eberlein, E
Jacod, J
Raible, S
机构：
[1] Univ Freiburg, Dept Math Stochast, D-79104 Freiburg, Germany
[2] Univ Paris 06, CNRS, UMR 7599, Lab Probabil & Modeles Aleatoires, F-75252 Paris, France
来源：
FINANCE AND STOCHASTICS | 2005年 / 9卷 / 01期
关键词：
term structures; Levy processes; no-arbitrage; completeness;
D O I：
10.1007/s00780-004-0138-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The Levy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique.
引用
收藏
页码：67 / 88
页数：22
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