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

Tree estimation for Stochastic Volatility Models The Anderson SPDE

Limbă: engleză
Legare: Carte broșată
Editura: VDM Verlag
Disponibilitate: La editor doar la comandă
Expediem în 17-27 zile
253.35 lei
This text is divided into two parts. In the first part we present a methodology for approximating co...

Informații despre carte

Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2010
Pagini
116
EAN
9783639127669
ISBN
3639127668
Enbook ID
06821528
Editura
Greutate
181
Dimensiuni
152 x 229 x 7

Descriere completă

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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