On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard, Zhenyu Cui, Don McLeish
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011739452