A note on the CIR process and the existence of equivalent martingale measures

This note shows that in a model where historical stock price follows a Cox-Ingersoll-Ross process, an equivalent martingale measure does not exist except when k[theta]=0.

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Year of publication:	2008
Authors:	Guo, Zhi Jun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 5, p. 481-487
Publisher:	Elsevier
Keywords:	CIR process Equivalent martingale measure Bessel process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137810