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Is there a method of finding a risk-neutral measure for assets driven by the levy process? I understand there is the esscher transform but I think it tends to transform the processes into unrecognisable/intractable forms. Can anyone provide an explicit method to finding a risk-neutral measure?

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    $\begingroup$ Dont have it handy right now, but have you looked at financial modelling w jump processes, by cont and tankov? $\endgroup$
    – quasi
    Aug 7, 2013 at 6:30

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