Lévy过程驱动的HJM框架下债券市场无套利的充分条件

摘要

考虑Lévy过程驱动的 HJM框架下债券市场模型，利用远期债券价格过程构造相应于Lévy过程的远期鞅测度，获得了这种债券市场无套利的充分条件。%A bond market model under the HJM framework driven by Lévy process is considered ,and a forward martingale measure which is related to the Lévy process is constructed by applying the forward process of bond price .At last ,the sufficient condition of no-arbitrage for the bond market is obtained .