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
Erscheinungsjahr 2010
ISBN: 978-3-639-12766-9
Verlag: VDM Verlag Dr. Müller

Buch, Englisch, 116 Seiten, Paperback, Format (B × H): 150 mm x 220 mm, Gewicht: 191 g

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.

Autoren/Hrsg.

Florescu, Ionut

Über Autor(innen)

Ionut Florescu is a Probability and Statistics professor currently at Stevens Institute of Technology, Hoboken, New Jersey, USA. He is a graduate of University of Bucharest, Romania and of Purdue University, Indiana USA.