Completion of a Lévy market by power-jump assets |
| |
Authors: | José Manuel Corcuera David Nualart Wim Schoutens |
| |
Institution: | (1) Universitat de Barcelona, Gran Via de les Corts Catalanes, 585, 08007 Barcelona, Spain;(2) K.U.Leuven, U.C.S., W.De Croylaan 54, 3001 Leuven, Belgium |
| |
Abstract: | Except for the geometric Brownian model and the geometric Poissonian model, the general geometric Lévy market models are incomplete models and there are many equivalent martingale measures. In this paper we suggest to enlarge the market by a series of very special assets (power-jump assets) related to the suitably compensated power-jump processes of the underlying Lévy process. By doing this we show that the market can be completed. The very particular choice of the compensators needed to make these processes tradable is delicate. The question in general is related to the moment problem.Received: June 2004, Mathematics Subject Classification (2000):
91B28, 91B26, 91B16, 91B70JEL Classification:
C61The work of José Manuel Corcuera and David Nualart is partially supported by the MCyT grant no. BFM200304294. W. Schoutens is a Postdoctoral Fellow of the Fund for Scientific Research - Flanders (Belgium) (F.W.O. - Vlaanderen). |
| |
Keywords: | Lé vy processes market models martingales SDE variation arbitrage complete markets moment problem orthogonal polynomials |
本文献已被 SpringerLink 等数据库收录! |
|