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• Rev. Bras. Econ. 60 (4) • Dec 2006 • https://doi.org/10.1590/S0034-71402006000400002   copy

Equivalent martingale measures and Lévy processes

Authorship SCIMAGO INSTITUTIONS RANKINGS

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).

Lévy Processes; Equivalent Martingale Measures

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