Preprint
Oct 2026
The Martingale Property in Volterra Volatility Models
We study martingality and strict local martingality in a broad class of stochastic and path-dependent Volterra volatility models and explain the underlying mechanisms. Our martingality criteria allow rough kernels and rely on non-accessibility of an explosive direction or one-sided growth bounds on the Girsanov drift....
Julien Guyon, Thibault Jeannin, B. Jourdain
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