Titlebook: Analytically Tractable Stochastic Stock Price Models; Archil Gulisashvili Book 2012 Springer-Verlag Berlin Heidelberg 2012 91Gxx, 91G80, 9

Cupidity

Getting the Service You Deserve,els established in Chap.?.. Extensions of the asymptotic formulas for the stock price density to the case of the correlated Heston and Stein-Stein models are also presented. The asymptotic behavior of the stock price density in the correlated Hull-White model remains a mystery.

calamity

A Mixed Portfolio Selection Problem,k-Scholes model. This celebrated model is discussed in the present chapter and an analytical proof of the Black-Scholes formula is given. Moreover, sharp asymptotic formulas are obtained for call pricing functions in the Hull-White, Stein-Stein, and Heston models.

calorie

財(cái)主

1616-0533 at extreme strikes in general stochastic stock price models. .The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory.978-3-642-43386-3978-3-642-31214-4Series ISSN 1616-0533 Series E-ISSN 2195-0687

結(jié)構(gòu)

Glossy

Stock Price Models with Stochastic Volatility,e case of a non-zero correlation between the stock price and the volatility. The chapter presents results of C. Sin, concerning risk-neutral measures in the correlated Hull-White model. Sin’s results show that the existence of such measures is determined by the possibility of explosions in finite ti

織布機(jī)

gnarled

superfluous

impale

Realized Volatility and Mixing Distributions,mixing factor in such a representation is played by the distribution of a realized volatility (a time-average of the volatility process). For a correlated model, mixing distributions may be higher-dimensional. For example, in the correlated Heston model and the correlated Hull-White model with drift