Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model
Author:
Funder
Division of Physics
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11009-017-9548-5/fulltext.html
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4. Bernard C, Cui Z, McLeish D (2017) On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Math Finance 27:194–223
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