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 - Softcover

Florescu, Ionut

 
9783639127669: 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
Softcover
ISBN 10: 3639127668 ISBN 13: 9783639127669
Verlag: VDM Verlag Dr. Müller, 2010

Inhaltsangabe

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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Verlag
VDM Verlag Dr. Müller
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3639127668
ISBN 13 
9783639127669
Einband
Taschenbuch
Anzahl der Seiten
116
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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