Abstract.
The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique.
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Received: May 2004,
Mathematics Subject Classification (2000):
60H30, 91B28, 60G51
JEL Classification:
E43, G13
Work supported in part by the European Community’s Human Potential Programme under contract HPRN-CT-2000-00100, DYNSTOCH.
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Eberlein, E., Jacod, J. & Raible, S. Lévy term structure models: No-arbitrage and completeness. Finance and Stochastics 9, 67–88 (2005). https://doi.org/10.1007/s00780-004-0138-3
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DOI: https://doi.org/10.1007/s00780-004-0138-3