The mean correcting martingale measures for exponential additive processes

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• 作者：Luo-gen Yao ; Gang Yang ; Xiang-qun Yang
• 关键词：Mean correcting martingale measure ; additive processes ; option pricing
• 刊名：Applied Mathematics - A Journal of Chinese Universities
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：31
• 期：1
• 页码：81-88
• 全文大小：158 KB
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• 作者单位：Luo-gen Yao (1) (2)
  Gang Yang (1) (2)
  Xiang-qun Yang (1) (2)
  
  1. School of Mathematics and Statistics, Hunan University of Commerce, Changsha, 410205, China
  2. College of Mathematics and Computer Science, Hunan Normal University, Changsha, 410081, China
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Mathematics
  Applications of Mathematics
  Chinese Library of Science
  
• 出版者：Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
• ISSN：1993-0445

文摘

The mean correcting martingale measure for the stochastic process defined as the exponential of an additive process is constructed. Necessary and sufficient conditions for the existence of mean correcting martingale are also obtained. The investigation of this paper will establish a unified way that is applicable both to the case of Lévy processes and that of the sums of independent random variables. As an application, we present the necessary and sufficient conditions that the discounted stock price process is a martingale.