chapter  6
40 Pages

Le´vy Models

The market associated with an asset S (possibly multidimensional) and filtration F = {Ft; t ≥ 0} is said to be complete if there exists a unique positive martingale Λ(t) such that E{Λ(t)} = 1 and e−rtS(t)Λ(t) is also a martingale. Here for simplicity, we assume that the risk-free rate is constant.