Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Moment explosions in stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the phase transition curve in a directed exponential random graph model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating and understanding exponential random graph models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4391441 / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: IMPLIED VOLATILITY IN THE HULL-WHITE MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Euler scheme and tempered distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the growth rate of a linear stochastic recursion with Markovian dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3374309 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Second-order Weak Scheme for Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4942767 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Correlations and bounds for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Emergence of heavy-tailed distributions in a random multiplicative model driven by a Gaussian stochastic process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Phase transitions in exponential random graphs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complications with stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expansion of the global error for numerical schemes solving stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3341599 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized uncorrelated SABR models with a high degree of symmetry / rank
 
Normal rank

Latest revision as of 05:55, 15 July 2024

scientific article
Language Label Description Also known as
English
Asymptotics for the Euler-discretized Hull-White stochastic volatility model
scientific article

    Statements

    Asymptotics for the Euler-discretized Hull-White stochastic volatility model (English)
    0 references
    0 references
    0 references
    1 March 2018
    0 references
    linear stochastic recursion
    0 references
    Lyapunov exponent
    0 references
    phase transitions
    0 references
    critical exponent
    0 references
    large deviations
    0 references
    central limit theorems
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references