The transition density function plays an important role in understanding and explaining the dynamics of the stochastic process. We propose an approach which can be used for the analytic approximation of the transition density related to a multi-scale stochastic volatility model. Using perturbation theory, we compute the leading-order term and the first-order correction terms. A numerical test also confirms the effectiveness of the model.
Multi-scale stochastic volatility model transition density function perturbation theory
Birincil Dil | İngilizce |
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Konular | Matematik |
Bölüm | Matematik |
Yazarlar | |
Yayımlanma Tarihi | 15 Haziran 2019 |
Yayımlandığı Sayı | Yıl 2019 Cilt: 48 Sayı: 3 |