A note on the mean correcting martingale measure for geometric Lvy processes
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چکیده
A martingale measure is constructed by using a mean correcting transform for the geometric Lévy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Lévy process, there exists a continuous Gaussian part. Although this measure cannot be equivalent to a physical probability for a pure jump Lévy process, we show that a European call option price under thismeasure is still arbitrage free. © 2010 Elsevier Ltd. All rights reserved.
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تاریخ انتشار 2011