Characterization of Variance Optimal Equivalent Local Martingale Measure and Stochastic Volatility Model with Small Diffusion Coefficient
Article Sidebar
Main Article Content
Abstract
Characterization of variance optimal equivalent local martingale measure plays key role in several important problems of statistics of random processes. For stochastic volatility model with small diffusion coefficient the given characterization is used for robust statistic purposes.
Keywords:
Stochastic volatility, small diffusion coefficient, variance optimal equivalent local martingale measure
Published:
Dec 23, 2024
Article Details
How to Cite
Toronjadze, T. (2024). Characterization of Variance Optimal Equivalent Local Martingale Measure and Stochastic Volatility Model with Small Diffusion Coefficient. Business Administration Research Papers, 9. https://doi.org/10.62232/barp.9.2024.8575
Section
Conference Materials
PKPApplication::getCCLicenseBadge(https://creativecommons.org/licenses/by-nc/4.0)