Change of drift in one-dimensional diffusions Article Swipe
Sascha Desmettre
,
Gunther Leobacher
,
L. C. G. Rogers
·
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.1007/s00780-021-00451-w
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.1007/s00780-021-00451-w
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.
Related Topics
Concepts
Girsanov theorem
Martingale (probability theory)
Local martingale
Volatility (finance)
Arbitrage
Martingale pricing
Mathematics
Econometrics
Diffusion process
Martingale difference sequence
Measure (data warehouse)
Economics
Stochastic volatility
Statistical physics
Applied mathematics
Mathematical economics
Computer science
Financial economics
Stochastic differential equation
Physics
Service (business)
Database
Economy
Metadata
- Type
- preprint
- Language
- en
- Landing Page
- https://doi.org/10.1007/s00780-021-00451-w
- https://link.springer.com/content/pdf/10.1007/s00780-021-00451-w.pdf
- OA Status
- hybrid
- References
- 24
- Related Works
- 20
- OpenAlex ID
- https://openalex.org/W2981772779
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W2981772779Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1007/s00780-021-00451-wDigital Object Identifier
- Title
-
Change of drift in one-dimensional diffusionsWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2021Year of publication
- Publication date
-
2021-03-17Full publication date if available
- Authors
-
Sascha Desmettre, Gunther Leobacher, L. C. G. RogersList of authors in order
- Landing page
-
https://doi.org/10.1007/s00780-021-00451-wPublisher landing page
- PDF URL
-
https://link.springer.com/content/pdf/10.1007/s00780-021-00451-w.pdfDirect link to full text PDF
- Open access
-
YesWhether a free full text is available
- OA status
-
hybridOpen access status per OpenAlex
- OA URL
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https://link.springer.com/content/pdf/10.1007/s00780-021-00451-w.pdfDirect OA link when available
- Concepts
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Girsanov theorem, Martingale (probability theory), Local martingale, Volatility (finance), Arbitrage, Martingale pricing, Mathematics, Econometrics, Diffusion process, Martingale difference sequence, Measure (data warehouse), Economics, Stochastic volatility, Statistical physics, Applied mathematics, Mathematical economics, Computer science, Financial economics, Stochastic differential equation, Physics, Service (business), Database, EconomyTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
0Total citation count in OpenAlex
- References (count)
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24Number of works referenced by this work
- Related works (count)
-
20Other works algorithmically related by OpenAlex
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