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

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.

Authors

Institutions

Publication Details

Journal
Business Administration Research Papers
Published
2025-02-06
DOI
https://doi.org/10.62232/barp.9.2024.8575
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

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

T. Toronjadze
Business Administration Research Papers
Stochastic processes and financial applications
article

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

T. Toronjadze
article en

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.

Business Administration Research PapersVol. 9
Tbilisi State University (GE)
Openalex Percentile: Top 97%
Stochastic processes and financial applications
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.