搜索结果: 1-4 共查到“经济学 High-Order”相关记录4条 . 查询时间(0.125 秒)
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
Financial Stochastic processes Truncated Levy Flights High-Order Correlations NonGaussian Random Walk
2012/6/5
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. T...
Exact and high order discretization schemes for Wishart processes and their affine extensions
Wishart processes affine processes exact simulation
2010/10/21
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use co...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...