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Analytically Tractable Stochastic Stock Price Models - Archil Gulisashvili - Bog

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Analytically Tractable Stochastic Stock Price Models af Archil Gulisashvili
Bag om Analytically Tractable Stochastic Stock Price Models

For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642312137
  • Indbinding:
  • Hardback
  • Sideantal:
  • 362
  • Udgivet:
  • 5. September 2012
  • Udgave:
  • 2012
  • Størrelse:
  • 240x162x25 mm.
  • Vægt:
  • 702 g.
  • 2-3 uger.
  • 23. Juli 2024

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Beskrivelse af Analytically Tractable Stochastic Stock Price Models

For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.

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