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
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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: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 101203443
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.
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Bibliographic Details
Title: Tree estimation for Stochastic Volatility ...
Publisher: VDM Verlag Dr. Müller
Publication Date: 2010
Binding: Taschenbuch
Condition: Neu