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Structure-preserving equivalent martingale measures for ℋ-SII models

  • David Criens (a1)


In this paper we relate the set of structure-preserving equivalent martingale measures ℳsp for financial models driven by semimartingales with conditionally independent increments to a set of measurable and integrable functions 𝒴. More precisely, we prove that ℳsp ≠ ∅ if and only if 𝒴 ≠ ∅, and connect the sets ℳsp and 𝒴 to the semimartingale characteristics of the driving process. As examples we consider integrated Lévy models with independent stochastic factors and time-changed Lévy models and derive mild conditions for ℳsp ≠ ∅.


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* Postal address: Technical University of Munich, Parkring 11-13, 85748 Garching b. München, Germany. Email address:


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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
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