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arXiv · 1511.08349

On the Existence of Martingale Measures in Jump Diffusion Market Models

Jacopo Mancin·Wolfgang J. Runggaldier
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Abstract

In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples the only candidate for the density process of an equivalent local martingale measure is a supermartingale that is not a martingale, not even a local martingale. This candidate is given by the supermartingale deflator resulting from the inverse of the discounted growth optimal portfolio. In particular, we con- sider an example with constraints on the portfolio that go beyond the standard ones for admissibility.

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BibTeXRIS

Jacopo Mancin, Wolfgang J. Runggaldier. 2015-11-26. On the Existence of Martingale Measures in Jump Diffusion Market Models. https://arxiv.org/abs/1511.08349

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