Structure-preserving equivalent martingale measures for ℋ-SII models

DOI10.1017/jpr.2018.1zbMath1401.60075arXiv1606.02593OpenAlexW2964038544MaRDI QIDQ4684922

David Criens

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.02593

zbMATH Keywords

equivalent martingale measureconditionally independent incrementsstochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (1)

A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS

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