Download e-book for iPad: Analytically Tractable Stochastic Stock Price Models by Archil Gulisashvili

By Archil Gulisashvili

ISBN-10: 3642312136

ISBN-13: 9783642312137

ISBN-10: 3642433863

ISBN-13: 9783642433863

Asymptotic research of stochastic inventory expense versions is the relevant subject of the current quantity. unique examples of such types are stochastic volatility versions, which have been built as a solution to definite imperfections in a celebrated Black-Scholes version of alternative pricing. In a inventory fee version with stochastic volatility, the random habit of the volatility is defined by means of a stochastic strategy. for example, within the Hull-White version the volatility approach is a geometrical Brownian movement, the Stein-Stein version makes use of an Ornstein-Uhlenbeck technique because the stochastic volatility, and within the Heston version a Cox-Ingersoll-Ross approach governs the habit of the volatility. one of many author's major pursuits is to supply sharp asymptotic formulation with blunders estimates for distribution densities of inventory costs, choice pricing features, and implied volatilities in a number of stochastic volatility versions. the writer additionally establishes sharp asymptotic formulation for the implied volatility at severe moves quite often stochastic inventory rate types.

The current quantity is addressed to researchers and graduate scholars operating within the region of economic arithmetic, research, or likelihood concept. The reader is predicted to be acquainted with parts of classical research, stochastic research and likelihood theory.

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Analytically Tractable Stochastic Stock Price Models (Springer Finance) by Archil Gulisashvili

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