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.
Atslēgas vārdi
GARCH-process, stochasyic approximation
Carkovs, J., Egle, A. On Stochastic Volatility Modeling. No: 14th International Conference "Mathematical Modelling and Analysis": Abstracts, Latvija, Daugavpils, 27.-30. maijs, 2009. Daugavpils: Daugavpils University, 2009, 17.-17.lpp. ISBN 978-9984-14-439-9.
Publikācijas valoda
English (en)