scientific article; zbMATH DE number 7604955
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Publication:5043261
Authors: Petr Vladimirovich Tryasuchev 
Publication date: 21 October 2022
Full work available at URL: http://mathnet.ru/eng/vtgu188
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- A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
- A random walk model for stock market prices
- Analytically tractable stochastic stock price models.
- Stochastic volatility model and technical analysis of stock price
- EMPIRICAL LAWS OF A STOCK PRICE INDEX AND A STOCHASTIC MODEL
- A hyperbolic diffusion model for stock prices
- Stochastic dynamic models with stock-dependent rewards
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial markets (91G15)
Cites Work
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Empirical properties of asset returns: stylized facts and statistical issues
- Stock price distributions with stochastic volatility: an analytic approach
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- Probability distribution of returns in the Heston model with stochastic volatility
- Application of the Heston and Hull-White models to German Dax data
- Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
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