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
相关论文
共 50 条
  • [41] No-arbitrage up to random horizon for quasi-left-continuous models
    Anna Aksamit
    Tahir Choulli
    Jun Deng
    Monique Jeanblanc
    Finance and Stochastics, 2017, 21 : 1103 - 1139
  • [42] On the valuation of compositions in Levy term structure models
    Kluge, Wolfgang
    Papapantoleon, Antonis
    QUANTITATIVE FINANCE, 2009, 9 (08) : 951 - 959
  • [43] No-Arbitrage Principle in Conic Finance
    Vazifedan, Mehdi
    Zhu, Qiji Jim
    RISKS, 2020, 8 (02) : 1 - 34
  • [44] No-arbitrage bounds for financial scenarios
    Geyer, Alois
    Hanke, Michael
    Weissensteiner, Alex
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2014, 236 (02) : 657 - 663
  • [45] Harnack Inequality and No-Arbitrage Analysis
    Tang, Wanxiao
    Zhou, Fanchao
    Zhao, Peibiao
    SYMMETRY-BASEL, 2018, 10 (10):
  • [46] A comparison of two no-arbitrage conditions
    Miao Wang
    Jiang-Lun Wu
    Frontiers of Mathematics in China, 2014, 9 : 929 - 946
  • [47] No-arbitrage up to random horizon for quasi-left-continuous models
    Aksamit, Anna
    Choulli, Tahir
    Deng, Jun
    Jeanblanc, Monique
    FINANCE AND STOCHASTICS, 2017, 21 (04) : 1103 - 1139
  • [48] Pricing by hedging and no-arbitrage beyond semimartingales
    Bender, Christian
    Sottinen, Tommi
    Valkeila, Esko
    FINANCE AND STOCHASTICS, 2008, 12 (04) : 441 - 468
  • [49] No-arbitrage under a class of honest times
    Aksamit, Anna
    Choulli, Tahir
    Deng, Jun
    Jeanblanc, Monique
    FINANCE AND STOCHASTICS, 2018, 22 (01) : 127 - 159
  • [50] A no-arbitrage theorem for uncertain stock model
    Kai Yao
    Fuzzy Optimization and Decision Making, 2015, 14 : 227 - 242
12345