On Stochastic Volatility Modeling

14th International Conference "Mathematical Modelling and Analysis": Abstracts 2009
Jevgeņijs Carkovs, Aigars Egle

Applying the method and results of authors' previous papers this paper derives continuous time approximation for conditional variance in a form of diffusion process satisfying stochastic Ito differential equation.

Keywords
GARCH-process, stochasyic approximation

Carkovs, J., Egle, A. On Stochastic Volatility Modeling. In: 14th International Conference "Mathematical Modelling and Analysis": Abstracts, Latvia, Daugavpils, 27-30 May, 2009. Daugavpils: Daugavpils University, 2009, pp.17-17. ISBN 978-9984-14-439-9.

Publication language
English (en)