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Change of drift in one-dimensional diffusions
Finance and Stochastics ( IF 1.1 ) Pub Date : 2021-03-17 , DOI: 10.1007/s00780-021-00451-w
Sascha Desmettre , Gunther Leobacher , L. C. G. Rogers

It is generally understood that a given one-dimensional diffusion may be transformed by a Cameron–Martin–Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift. But to achieve this, we have to know that the change-of-measure local martingale that we write down is a true martingale. We provide a complete characterisation of when this happens. This enables us to discuss the absence of arbitrage in a generalised Heston model including the case where the Feller condition for the volatility process is violated.



中文翻译:

一维扩散的漂移变化

通常可以理解,给定的一维扩散可以通过卡梅隆-马丁-吉尔萨诺夫测度的变化转换为具有相同波动率但具有不同漂移的另一种一维扩散。但是要实现这一目标,我们必须知道,我们写下的量度变化本地local是真正的mar。我们提供了何时发生这种情况的完整描述。这使我们能够讨论广义Heston模型中不存在套利的情况,包括违反波动性过程的Feller条件的情况。

更新日期:2021-03-17
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