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

Ionut Florescu

ISBN 10: 3639127668 / ISBN 13: 9783639127669

Published by VDM Verlag Dr. Müller, 2010

About this Item

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 | Ionut Florescu | Taschenbuch | Englisch | VDM Verlag Dr. Müller | EAN 9783639127669 | Verantwortliche Person für die EU: VDM Verlag Dr. Müller, Brivibas Gatve 197, 1039 RIGA, LETTLAND, customerservice[at]vdm-vsg[dot]de | Anbieter: preigu.

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Bibliographic Details

• Title: 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
• Publisher: VDM Verlag Dr. Müller
• Publication Date: 2010
• Language: English
• ISBN 10: 3639127668
• ISBN 13: 9783639127669
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 7W x 150H x 220D millimeters 7 millimeters width by 150 millimeters height by 220 millimeters depth
• Weight: 172 grams
• Seller catalogs:
  • Bücher

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Synopsis

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.