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 k θ = 0. © 2007 Elsevier B.V. All rights reserved.
CITATION STYLE
Guo, Z. J. (2008). A note on the CIR process and the existence of equivalent martingale measures. Statistics and Probability Letters, 78(5), 481–487. https://doi.org/10.1016/j.spl.2007.07.022
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