Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031)
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scientific article; zbMATH DE number 6845832
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| English | Asymptotics for the Euler-discretized Hull-White stochastic volatility model |
scientific article; zbMATH DE number 6845832 |
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Asymptotics for the Euler-discretized Hull-White stochastic volatility model (English)
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1 March 2018
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linear stochastic recursion
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Lyapunov exponent
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phase transitions
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critical exponent
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large deviations
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central limit theorems
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0.8556221723556519
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0.787992000579834
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0.7815700769424438
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0.7636082172393799
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