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On a Condition that One-Dimensional Diffusion Processes are Martingales
2 references·4 citing·17 second hop
On a Condition that One-Dimensional Diffusion Processes are Martingales (2006)On a Condition that One-Dimensional Diffu…The importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes (1999)The importance of strictly lo…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS (2014)ON THE MARTINGALE PROPERTY IN…Why Are Quadratic Normal Volatility Models Analytically Tractable? (2013)Why Are Quadratic Normal Vola…A new proof for the conditions of Novikov and Kazamaki (2012)A new proof for the condition…Option pricing with quadratic volatility: a revisit (2010)Option pricing with quadratic…Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Asset Price Bubbles in Complete Markets (2007)Rational asset pricing bubbles and portfolio constraints (2010)Stability in a Model of Interbank Lending (2013)The Pricing of Options on Assets with Stochastic Volatilities (1987)A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures (2018)A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions (2019)Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (2014)Fragility of arbitrage and bubbles in local martingale diffusion models (2015)“Options, Futures, and Other Derivatives” (2016)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (2018)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1999The importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes89 cited

Cited by

  • 2010Option pricing with quadratic volatility: a revisit40 cited
  • 2012A new proof for the conditions of Novikov and Kazamaki31 cited
  • 2013Why Are Quadratic Normal Volatility Models Analytically Tractable?27 cited
  • 2014ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS27 cited

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