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Analytically Tractable Stochastic Stock Price Models
part of the Springer Finance series
- Language:
- English
- ISBN:
- 9783642312137
- Binding:
- Hardback
- Pages:
- 362
- Published:
- September 4, 2012
- Edition:
- 2012
- Dimensions:
- 240x162x25 mm.
- Weight:
- 702 g.
Delivery:
2-3 weeks
Expected delivery: January 12, 2025
Extended return policy to January 30, 2025
Description of Analytically Tractable Stochastic Stock Price Models
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.
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