an:02170102
Zbl 1066.60046
Selivanov, A. V.
Existence and uniqueness of martingale measures in exponential L??vy models
EN
Russ. Math. Surv. 59, No. 3, 587-588 (2004); translation from Usp. Mat. Nauk 59, No. 3, 179-180 (2004).
00113191
2004
j
60G44 91B28 60G51
financial mathematics
The paper deals with existence and uniqueness of martingale measures in exponential L??vy model and in exponential L??vy model with time change which are the popular pricing models of financial mathematics. The classes of martingale measures considered are those arising in the fundamental theorem of arbitrage theory.
Tom???? Cipra (Praha)