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Analytically Tractable Stochastic Stock Price Models
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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.
Opplag
2012 ed.
ISBN
9783642433863
Språk
Engelsk
Vekt
310 gram
Utgivelsesdato
15.10.2014
Antall sider
362