This article is cited in 11 papers

On the Martingale Measures in Exponential Lévy Models

A. V. Selivanov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We study the existence and uniqueness of martingale measures in the exponential Lévy models of the form $S_t=e^{X_t}$, $S_t=e^{X_{\tau_t}}$, where $X$ is a Lévy process and $\tau$ is an independent increasing process.

Keywords: fundamental theorem of asset pricing, exponential Lйvy model, martingale measure, sigma-martingale measure, uniformly integrable martingale measure.

Received: 03.02.2004

DOI: 10.4213/tvp221

 English version: Theory of Probability and its Applications, 2005, 49:2, 261–274

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