Equivalent martingale measures and Lévy processes

Detalhes bibliográficos
Autor(a) principal: Fajardo,José Santiago
Data de Publicação: 2006
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000400002
Resumo: In this paper we compute equivalent martingale measures when the asset price returns are modelled by a Lévy process. We follow the approach introduced by Gerber and Shiu (1994).
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spelling Equivalent martingale measures and Lévy processesLévy ProcessesEquivalent Martingale MeasuresIn this paper we compute equivalent martingale measures when the asset price returns are modelled by a Lévy process. We follow the approach introduced by Gerber and Shiu (1994).Fundação Getúlio Vargas2006-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000400002Revista Brasileira de Economia v.60 n.4 2006reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402006000400002info:eu-repo/semantics/openAccessFajardo,José Santiagoeng2007-04-05T00:00:00Zoai:scielo:S0034-71402006000400002Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2007-04-05T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Equivalent martingale measures and Lévy processes
title Equivalent martingale measures and Lévy processes
spellingShingle Equivalent martingale measures and Lévy processes
Fajardo,José Santiago
Lévy Processes
Equivalent Martingale Measures
title_short Equivalent martingale measures and Lévy processes
title_full Equivalent martingale measures and Lévy processes
title_fullStr Equivalent martingale measures and Lévy processes
title_full_unstemmed Equivalent martingale measures and Lévy processes
title_sort Equivalent martingale measures and Lévy processes
author Fajardo,José Santiago
author_facet Fajardo,José Santiago
author_role author
dc.contributor.author.fl_str_mv Fajardo,José Santiago
dc.subject.por.fl_str_mv Lévy Processes
Equivalent Martingale Measures
topic Lévy Processes
Equivalent Martingale Measures
description In this paper we compute equivalent martingale measures when the asset price returns are modelled by a Lévy process. We follow the approach introduced by Gerber and Shiu (1994).
publishDate 2006
dc.date.none.fl_str_mv 2006-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000400002
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000400002
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402006000400002
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.60 n.4 2006
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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