Geodesic
On the Martingale Measures in Exponential Lévy Models
Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 2, pp. 317-334

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We study the existence and uniqueness of martingale measures in the exponential Lévy models of the form $S_t=e^{X_t}$, $S_t=e^{X_{\tau_t}}$, where $X$ is a Lévy process and $\tau$ is an independent increasing process.
Keywords: fundamental theorem of asset pricing, exponential Lйvy model, martingale measure, sigma-martingale measure, uniformly integrable martingale measure. 
@article{TVP_2004_49_2_a4,
     author = {A. V. Selivanov},
     title = {On the {Martingale} {Measures} in {Exponential} {L\'evy} {Models}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {317--334},
     publisher = {mathdoc},
     volume = {49},
     number = {2},
     year = {2004},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2004_49_2_a4/}
}
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A. V. Selivanov. On the Martingale Measures in Exponential Lévy Models. Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 2, pp. 317-334. http://geodesic.mathdoc.fr/item/TVP_2004_49_2_a4/