Tagged Questions

votes

2answers

364 views

Version of Girsanov theorem with changing volatility

Is there a version of Girsanov theorem when the volatility is changing? For example Girsanov theorem states that Radon Nikodym (RN) derivative for a stochastic equation is used to transform the ...

asked Nov 9 '12 at 1:39

adam
362

newest risk-neutral-measure girsanov questions feed

Technology			Life / Arts	Culture / Recreation	Science	Other
Stack Overflow Server Fault Super User Web Applications Ask Ubuntu Webmasters Game Development TeX - LaTeX	Programmers Unix & Linux Ask Different (Apple) WordPress Answers Geographic Information Systems Electrical Engineering Android Enthusiasts IT Security	Database Administrators Drupal Answers SharePoint User Experience Mathematica more (14)	Photography Science Fiction & Fantasy Seasoned Advice (cooking) Home Improvement more (13)	English Language & Usage Skeptics Mi Yodeya (Judaism) Travel Arqade (gaming) Bicycles Role-playing Games more (22)	Mathematics Cross Validated (stats) Theoretical Computer Science Physics more (7)	Stack Apps Meta Stack Overflow Area 51 Stack Overflow Careers

rev 2013.5.17.690

Quantitative Finance Stack Exchange works best with JavaScript enabled

Tagged Questions

Version of Girsanov theorem with changing volatility

Related Tags