Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031)
From MaRDI portal
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
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
