The Heston?Nandi-model for option pricing (Heston and Nandi, 1997, 2000) is specified as

where z_t?is again independent and identically standard normally distributed. In going from probability measure P to Q, the model can be written in unchanged algebraic form but with the substitutions ? ? ?^Q, z_t ? z^Q_t and ? ? ?^Q. What are the modified quantities ?^Q, z^Q_t?and??^Q?

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Ax¡ = r + Ah, + Vh,z, h, = w + a (zi-1 – y VM.-1) + Bh,-1,