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)