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Change of drift in one-dimensional diffusions - MaRDI portal

Change of drift in one-dimensional diffusions (Q2022766)

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Change of drift in one-dimensional diffusions
scientific article

    Statements

    title
    Change of drift in one-dimensional diffusions (English)
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    author
    Sascha Desmettre
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    Gunther Leobacher
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    L. C. G. Rogers
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    publication date
    29 April 2021
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    zbMATH Keywords
    one-dimensional diffusions
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    change of measure
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    Heston model
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    Feller condition
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    free lunch with vanishing risk
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    60G44
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    91B70
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    zbMATH DE Number
    7341441
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    OpenAlex ID
    W3136198329
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    arXiv ID
    1910.11904
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