A simple proof of the martingale property in a semi-log-normal stochastic volatility model
Volume 45 / 2018
Applicationes Mathematicae 45 (2018), 1-4
MSC: 91B25, 60H30, 91G80.
DOI: 10.4064/am2356-11-2017
Published online: 5 February 2018
Abstract
A simple proof of a martingale property of the price process in a semi-log-normal stochastic volatility model is presented. The proof is based on the Girsanov theorem and some elementary properties of functionals of Brownian motion.
