Lévy term structure models: No-arbitrage and completeness

被引：0
|
作者：
Ernst Eberlein
Jean Jacod
Sebastian Raible
机构：
[1] University of Freiburg,Department of Mathematical Stochastics
[2] Université Pierre et Marie Curie,Laboratoire de Probabilités et Modéles aléatoires (CNRS UMR 7599)
来源：
Finance and Stochastics | 2005年 / 9卷
关键词：
Term structures; Lévy processes; no-arbitrage; completeness;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The Lévy 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.
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页码：67 / 88
页数：21
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