Work

Characterization of Variance Optimal Equivalent Local Martingale Measure and Stochastic Volatility Model with Small Diffusion Coefficient

Year: 2025

Type: article

Abstract: Characterization of variance optimal equivalent local martingale measure plays key role in several important problems of statistics of random processes. For stochastic volatility model with small diffusion coefficient the given characterization is used for robust statistic purposes.

Source: Business Administration Research Papers

DOI: 10.62232/barp.9.2024.8575

Author: T. Toronjadze

Institutions: Tbilisi State University, Georgian American University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4407226150

FWCI:

Cites:

Cited by:

Related to: 10