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