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On the Martingale Measures in Exponential Lévy Models
Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 2, pp. 317-334 Cet article a éte moissonné depuis la source Math-Net.Ru

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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. 
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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/

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