Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153409 | Statistics & Probability Letters | 2008 | 7 Pages |
Abstract
This note shows that in a model where historical stock price follows a Cox–Ingersoll–Ross process, an equivalent martingale measure does not exist except when kθ=0kθ=0.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhi Jun Guo,