ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS
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Publication:2968278
DOI10.1111/mafi.12084zbMath1414.91432arXiv1310.0092MaRDI QIDQ2968278
Donald L. McLeish, Carole Bernard, Zhen-Yu Cui
Publication date: 13 March 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.0092
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44: Martingales with continuous parameter
91G80: Financial applications of other theories
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