{"id":"W3122579113","doi":"10.1111/mafi.2017.27.issue-1","title":"On the martingale property in stochastic volatility models based on time-homogeneous diffusions","year":2013,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"","keywords":"Local martingale; Martingale (probability theory); Doob's martingale inequality; Mathematics; Martingale pricing; Martingale difference sequence; Stochastic volatility; Exponential function; Volatility (finance); Applied mathematics; Econometrics; Mathematical economics; Mathematical analysis","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.009994539,0.001641899,0.002769455,0.003229501,0.001253757,0.003271956,0.002062613,0.003281481,0.004661159],"category_scores_gemma":[0.03458717,0.0009997322,0.003110396,0.001997348,0.005655841,0.0088028,0.004244712,0.004262446,0.0004975089],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.002043988,"about_ca_system_score_gemma":0.002368943,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003939452,"about_ca_topic_score_gemma":0.00205233,"domain_scores_codex":[0.9976157,0.001150518,0.0001399954,0.0003939228,0.0003488651,0.0003510488],"domain_scores_gemma":[0.9697251,0.02261383,0.002629308,0.001259115,0.002261208,0.001511423],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00006038267,0.00004638349,0.001486221,0.0001340602,0.00006342865,0.0002524215,0.0001627164,0.02719365,0.001102632,0.9662405,0.0006644613,0.002593205],"study_design_scores_gemma":[0.00004790789,0.00006702649,0.0008251781,0.00007891898,0.00004524508,0.0001024932,0.00006011322,0.2585512,0.0005500456,0.738671,0.0009521666,0.00004876197],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1709167,0.005237152,0.7988828,0.004280922,0.00025654,0.0001190201,0.0005143235,0.0002838426,0.01950876],"genre_scores_gemma":[0.9410146,0.004035775,0.04585036,0.0006516734,0.000779655,0.0001701667,0.000566008,0.000160064,0.006771709],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009994539,"threshold_uncertainty_score":0.0528568,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04938178504374268,"score_gpt":0.2622218602608199,"score_spread":0.2128400752170772,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}