On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Year of publication: |
January 2017
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Authors: | Bernard, Carole ; Cui, Zhenyu ; McLeish, Don L. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 1, p. 194-223
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Subject: | Martingale property | local martingale | stochastic volatility | Engelbert Schmidt zero-one law | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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