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 k)=0.
| Original language | English |
|---|---|
| Pages (from-to) | 481-487 |
| Number of pages | 7 |
| Journal | Statistics & Probability Letters |
| Volume | 78 |
| Issue number | 5 |
| Publication status | Published - 2008 |
Keywords
- mathematical statistics
- probabilities