On the martingale property of stochastic exponentials

By Bernard Wong, Chris C. Heyde. Journal of Applied Probability, 2004

60 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2de126576abcc8e384190762cbbf95ab91e59194

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jan Kallsen
2. Johannes Muhle‐Karbe
3. Marek Rutkowski
4. Bernard Wong
5. Chris C. Heyde
6. Damir Filipovi'c
7. Aleksandar Mijatovic
8. Mikhail Urusov

In Finance

1. Johannes Muhle‐Karbe
2. Jan Kallsen
3. Damir Filipovi'c
4. Aleksandar Mijatovic
5. Marek Rutkowski
6. Chris C. Heyde
7. Bernard Wong
8. Mikhail Urusov

In Management Science and Operations Research

1. Johannes Muhle‐Karbe
2. Aleksandar Mijatovic
3. Bernard Wong
4. Chris C. Heyde
5. Damir Filipovi'c
6. Marek Rutkowski
7. Jan Kallsen
8. Mikhail Urusov

Citations in the corpus

• On the martingale property of certain local martingales (2009, background): “Namely, the formulation of Proposition 1 in [41] is ambiguous and its proof fails after the words “which demonstrates the existence.”
• Moment explosions in stochastic volatility models (2006, unknown): “Further details are in [24,30]; see also [7, 31 ].”
• Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005, background): “MR1980149 [32] Wong, B. and Heyde, C. C. (2004).”
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, background): “…independent Brownian motions and they are also independent of the Brownian motions W Q and W v (hence the processes Q, r and r̂ are independent), and 55 (A.3) the model’s parameters satisfy the stability conditions 2θ > σ 2v , 2ad > σ 2 d , 2af > σ 2 f (see, for instance, Wong and Heyde (2004)).”
• HEDGING UNDER ARBITRAGE (2010, unknown): “Wong and Heyde (2004) prove the existence of a measureQ̃ satisfyingEP[Zθ(T )] = Q̃(τ θ > T ), whereW (·) has the samẽQ-dynamics as we derive, butP is not necessarily absolutely continuous with respect toQ̃.”
• On changes of measure in stochastic volatility models (2006, methodology): “This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.”
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes (2010, background): “Similarly, [18, 5] contain conditions for the exponential of a diffusion with and without jumps to be a martingale.”