scientific article; zbMATH DE number 7604955

MaRDI QIDQ5043261zbMATH OpenFDO

Authors Petr Vladimirovich Tryasuchev

Publication date 21 October 2022

Full work available at URL http://mathnet.ru/eng/vtgu188

zbMATH Keywords

driftWiener processMarkov processvolatilitystochastic processrelative increments

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3802533 (Why is no real title available?)
• scientific article; zbMATH DE number 5042594 (Why is no real title available?)
• scientific article; zbMATH DE number 2215928 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Application of the Heston and Hull-White models to German Dax data
• Empirical properties of asset returns: stylized facts and statistical issues
• Probability distribution of returns in the Heston model with stochastic volatility
• Stock price distributions with stochastic volatility: an analytic approach
• Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits

Cited in

(3)

• Stochastic dynamic models with stock-dependent rewards
• On the increment distributions of stock prices
• scientific article; zbMATH DE number 5800981 (Why is no real title available?)

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• QRM

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