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

Editore: VDM Verlag Dr. Müller, 2010

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. Codice articolo 101203443

Riassunto:

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.

Dati bibliografici

Titolo: Tree estimation for Stochastic Volatility ...
Casa editrice: VDM Verlag Dr. Müller
Data di pubblicazione: 2010
Legatura: Taschenbuch
Condizione: Neu