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The Mollification Analysis of Stochastic Volatility
described by a stochastic process: dS = #(S, t)dt + a(S, t)dW where W is a standard Brownian Motion ... and a is the instantaneous standard deviation of S which specifies its volatility. This paper presented ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models