Change of drift in one-dimensional diffusions

DOI10.1007/s00780-021-00451-wzbMath1461.91365arXiv1910.11904OpenAlexW3136198329MaRDI QIDQ2022766

Gunther Leobacher, L. C. G. Rogers, Sascha Desmettre

Publication date: 29 April 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.11904

zbMATH Keywords

one-dimensional diffusionschange of measureHeston modelfree lunch with vanishing riskFeller condition

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Martingales with continuous parameter (60G44)

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