A simple proof of the martingale property in a semi-log-normal stochastic volatility model

DOI10.4064/AM2356-11-2017zbMath1411.91638OpenAlexW2790785374MaRDI QIDQ3177164

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 27 July 2018

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am2356-11-2017

zbMATH Keywords

functionals of Brownian motionsemi-log-normal stochastic volatility model

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Revisiting linear and lognormal stochastic volatility models

Cites Work

• Unnamed Item
• On the martingale property of certain local martingales
• Complications with stochastic volatility models

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