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Tree estimation for Stochastic Volatility Models The Anderson SPDE
Language
English
English
Book
Paperback
This text is divided into two parts. In the first part we present a methodology for approximating co...
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Libristo code: 06821528
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144 b
144 b
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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.
About the book
Full name
Tree estimation for Stochastic Volatility Models The Anderson SPDE
Author
Ionut Florescu
Language
English
English
Binding
Book - Paperback
Date of issue
2010
Number of pages
116
EAN
9783639127669
ISBN
3639127668
Libristo code
06821528
Publishers
VDM Verlag
Weight
181
Dimensions
152 x 229 x 7
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