Analytically Tractable Stochastic Stock Price Models
Archil Gulisashvili
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2012
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For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.
- ISBN-13
- 9783642312137
- ISBN-10
- 3642312136
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Year
- 2012
- Publication date
- 2012-09-05
- Pages
- 362
- Dimensions
- 162x240x25
- Weight
- 702