Structure-preserving equivalent martingale measures for ℋ-SII models
Keyword(s):
Abstract In this paper we relate the set of structure-preserving equivalent martingale measures ℳsp for financial models driven by semimartingales with conditionally independent increments to a set of measurable and integrable functions 𝒴. More precisely, we prove that ℳsp ≠ ∅ if and only if 𝒴 ≠ ∅, and connect the sets ℳsp and 𝒴 to the semimartingale characteristics of the driving process. As examples we consider integrated Lévy models with independent stochastic factors and time-changed Lévy models and derive mild conditions for ℳsp ≠ ∅.
2012 ◽
Vol 49
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pp. 838-849
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2016 ◽
Vol 19
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pp. 1650014
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Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
1997 ◽
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pp. 283-294
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1998 ◽
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pp. 256-268
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2011 ◽
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