Książka Tree estimation for Stochastic Volatility Models The Anderson SPDE Ionut Florescu

Tree estimation for Stochastic Volatility Models The Anderson SPDE

Język: Angielski
Oprawa: Miękka
Wydawca: VDM Verlag
Dostępność: Na zamówienie
Wysyłamy za 17-27 dni
210.36
This text is divided into two parts. In the first part we present a methodology for approximating co...

Informacje o książce

Język
Angielski
Oprawa
Książka - Miękka
Data wydania
2010
strony
116
EAN
9783639127669
ISBN
3639127668
Enbook ID
06821528
Wydawca
Waga
181
Wymiary
152 x 229 x 7

Pełny opis

This text is divided into two parts. In the first part we present a methodology for approximating complex stochastic processes. Furthermore, we present an application to finance to calculate the price of American or European options when the price of the underlying equity obeys these complex processes. In the second part we investigate the exponential behavior of the solution of the parabolic Anderson model when the time goes to infinity. We show that the relevant quantity (the Lyapunov exponent) exists, and we provide tight lower and upper bounds for it.

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