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Journals / Hacettepe Journal of Mathematics and Statistics / 2019 / Cilt: 48 - Sayı: 3

Analytic approximation of the transition density function under a multi-scale volatility model

Yong-ki MA
Pages
682–688
Publication Date
2019-06-15
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

A numerical test also confirms the effectiveness of the model.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The transition density function plays an important role in understanding and explaining the dynamics of the stochastic process.
📊
Key Findings & Data:We propose an approach which can be used for the analytic approximation of the transition density related to a multi-scale stochastic volatility model.
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Conclusion & Impact:A numerical test also confirms the effectiveness of the model.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Multi-scale stochastic volatility model · transition density function · perturbation theory

Abstract

The transition density function plays an important role in understanding and explaining the dynamics of the stochastic process. We propose an approach which can be used for the analytic approximation of the transition density related to a multi-scale stochastic volatility model. Using perturbation theory, we compute the leading-order term and the first-order correction terms. A numerical test also confirms the effectiveness of the model.

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Cite This Article

MA, Y. (2019). Analytic approximation of the transition density function under a multi-scale volatility model. Hacettepe Journal of Mathematics and Statistics, Cilt: 48 - Sayı: 3, 682–688. https://ajindex.com/articles/669358

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