Change of drift in one-dimensional diffusions
Year of publication: |
2021
|
---|---|
Authors: | Desmettre, Sascha ; Leobacher, Gunther ; Rogers, Leonard C. G. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 2, p. 359-381
|
Subject: | One-dimensional diffusions | Change of measure | Heston model | Feller condition | Free lunch with vanishing risk |
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