Complications with stochastic volatility models
1998 ◽
Vol 30
(1)
◽
pp. 256-268
◽
Keyword(s):
We show a class of stock price models with stochastic volatility for which the most natural candidates for martingale measures are only strictly local martingale measures, contrary to what is usually assumed in the finance literature. We also show the existence of equivalent martingale measures, and provide one explicit example.
1998 ◽
Vol 30
(01)
◽
pp. 256-268
◽
2009 ◽
Vol 119
(7)
◽
pp. 2137-2157
◽
1999 ◽
Vol 36
(02)
◽
pp. 523-545
◽
2000 ◽
Vol 03
(02)
◽
pp. 279-308
◽
2015 ◽
Vol 18
(01)
◽
pp. 1550007
◽
2010 ◽
Vol 42
(1)
◽
pp. 83-105
◽
2010 ◽
Vol 42
(01)
◽
pp. 83-105
◽
2019 ◽
Vol 23
(01)
◽
pp. 2050001
1999 ◽
Vol 36
(2)
◽
pp. 523-545
◽