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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.
Considering the Lévy process-driven bond market model under the HJM framework, the forward martingale measure corresponding to the Lévy process is constructed by the forward bond price process, and the sufficient condition for the bond market to have no arbitrage is obtained.