Two-Sided Estimates for Distribution Densities in Models with Jumps
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Publication:2914792
DOI10.1007/978-3-642-22368-6_7zbMATH Open1247.91184arXiv1005.1917OpenAlexW61979028MaRDI QIDQ2914792FDOQ2914792
Authors: Archil Gulisashvili, Josep Vives 
Publication date: 21 September 2012
Published in: Stochastic Differential Equations and Processes (Search for Journal in Brave)
Abstract: We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Similar perturbations of the Black-Scholes model were studied by S. Kou. For perturbed stochastic volatility models, we obtain two-sided estimates for the stock price distribution density and compare the tail behavior of this density before and after perturbation. It is shown that if the value of the parameter, characterizing the right tail of the double exponential law, is small, then the stock price density in the perturbed model decays slower than the density in the original model. On the other hand, if the value of this parameter is large, then there are no significant changes in the behavior of the stock price distribution density.
Full work available at URL: https://arxiv.org/abs/1005.1917
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