Tree estimation for Stochastic Volatility Models The Anderson SPDE: Approximation for diffusion models using a recombining tree. Lyapunov exponent estimation for the Anderson model in continuous space

Tree estimation for Stochastic Volatility Models The Anderson SPDE: Approximation for diffusion models using a recombining tree. Lyapunov exponent estimation for the Anderson model in continuous space

von Ionut Florescu
Taschenbuch - 9783639127669
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Beschreibung

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.

Details

Verlag VDM Verlag
Ersterscheinung April 2010
Maße 220 mm x 150 mm x 7 mm
Gewicht 189 Gramm
Format Taschenbuch
ISBN-13 9783639127669
Auflage Nicht bekannt
Seiten 116

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