Martingale property for the Scott correlated stochastic volatility model

Khadija Akdim; M'hamed Eddahbi; Mouna Haddadi

Martingale property for the Scott correlated stochastic volatility model

Probability 2016-06-14 v1

Authors: Khadija Akdim , M'hamed Eddahbi , Mouna Haddadi

Abstract

In this paper, we study the martingale property for a Scott correlated stochastic volatility model, when the correlation coefficient between the Brownian motion driving the volatility and the one driving the asset price process is arbitrary. For this study we verify the martingale property by using the necessary and sufficient conditions given by Bernard \emph{et al.} \cite{Bernard}. Our main results are to prove that the price process is a true and uniformly integrable martingale if and only if $\rho \in [-1,0]$ for two transformations of Brownian motion describing the dynamics of the underling asset.

Keywords

martingale property stochastic volatility model Scott model Brownian motion uniformly integrable

Cite

@article{arxiv.1606.03645,
  title  = {Martingale property for the Scott correlated stochastic volatility model},
  author = {Khadija Akdim and M'hamed Eddahbi and Mouna Haddadi},
  journal= {arXiv preprint arXiv:1606.03645},
  year   = {2016}
}

Comments

arXiv admin note: text overlap with arXiv:1310.0092, arXiv:0804.2589 by other authors

Martingale property for the Scott correlated stochastic volatility model

Abstract

Keywords

Cite

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