The mean correcting martingale measures for exponential additive processes  

作　　者：YAO Luo-gen YANG Gang YANG Xiang-qun 

机构地区：[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

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2016年第1期81-88,共8页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the Foundation for Innovative Research Groups of the National Natural Science Foundation of China(71221061);National Natural Science Foundation of China(11171101);National Social Science Fund of China(11BTJ011;15BJY122);Social Sciences Foundation of Ministry of Education of China(12YJAZH173);Aid program for Science and Technology Innovative Research Team in Higher Educational Institutions of Hunan Province

摘　　要：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 Ldvy 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.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 Ldvy 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.

关 键 词：Mean correcting martingale measure additive processes option pricing. 

分 类 号：O211.6[理学—概率论与数理统计]