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Dergiler / 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
Sayfa
682–688
Yayın Tarihi
2019-06-15
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

A numerical test also confirms the effectiveness of the model.

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez:The transition density function plays an important role in understanding and explaining the dynamics of the stochastic process.
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Temel Bulgular & Veri: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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Sonuç & Katkı:A numerical test also confirms the effectiveness of the model.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler: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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Bu Makaleye Atıf Yap

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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Kaynakça (10)

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