change of measure in heston's model

andiwag · February 2nd, 2009, 8:04 am

Hi,I'm looking for any reference regarding a change of measure in heston's model. i'm especially interested in the proof of novikov's condition when a CIR process is involved.cheersandi

Alan · February 2nd, 2009, 2:29 pm

One is Wong and Heyde: "on changes of measure in stochastic volatility models" Also, google "complications with stochastic volatility models" by Sin and see who cites it.

Antonio · February 3rd, 2009, 7:10 am

Check also Andersen & Piterbarg's Moment Explosions paper. Pretty clear about the martingality of the Heston model (up to a certain maturity at least).

prospero · February 9th, 2009, 9:13 pm

To get Novikov for the CIR process one of the exercises in Revuz& Yor is useful, see http://www.itwm.fraunhofer.de/zentral/d ... icht53.pdf

andiwag · February 17th, 2009, 1:04 pm

thanks, those references turned out to be very useful!