| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144484 | Systems Engineering - Theory & Practice | 2007 | 7 Pages |
Abstract
In this article, we first present a dynamic linear evaluation mechanism of contingent claims. Then, we deduce the dynamic capital asset pricing model from this dynamic linear evaluation rule in the market driven by Lévy processes. We mainly use the predictable representation property in weak form and Girsanov theorem of Lévy processes to obtain the results.
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Control and Systems Engineering
