A class of stochastic volatility models and the q -optimal martingale measure
AbstractThis paper proposes an approach under which the q -optimal martingale measure, for the case where continuous processes describe the evolution of the asset price and its stochastic volatility, exists for all finite time horizons. More precisely, it is assumed that while the ‘mean--variance trade-off process’ is uniformly bounded, the volatility and asset are imperfectly correlated. As a result, under some regularity conditions for the parameters of the corresponding Cauchy problem, one obtains that the q th moment of the corresponding Radon--Nikodym derivative does not explode in finite time.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 12 (2012)
Issue (Month): 7 (February)
Contact details of provider:
Web page: http://www.tandfonline.com/RQUF20
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.