We compare two well-known examples of stochastic volatility models, the Heston model and the Hull-White model. We derive the stationary probability density distribution of the variance. In addition, we apply this stationary solution to the probability density distribution of the logarithmic returns
β¦ LIBER β¦
An extention of Samuelson's warrant valuation model and its application to Japanese data
β Scribed by Masafumi Takahashi
- Publisher
- Springer
- Year
- 1995
- Tongue
- English
- Weight
- 661 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1573-6946
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Application of Heston model and its solu
β
R. Remer; R. Mahnke
π
Article
π
2004
π
Elsevier Science
π
English
β 183 KB
Forecast of business performance using a
β
Y. Ikeda; O. Kubo; Y. Kobayashi
π
Article
π
2004
π
Elsevier Science
π
English
β 241 KB
A stochastic model of fractional crystal
β
Kawabe, Iwao
π
Article
π
1977
π
Springer
π
English
β 590 KB
An integral rheological model and its ap
β
J. David
π
Article
π
1969
π
Springer-Verlag
π
English
β 509 KB
Development of WEP model and its applica
β
Yangwen Jia; Guangheng Ni; Yoshihisa Kawahara; Tadashi Suetsugi
π
Article
π
2001
π
John Wiley and Sons
π
English
β 397 KB
## Abstract A distributed hydrological model, water and energy transfer processes (WEP) model, is developed to simulate spatially variable water and energy processes in watersheds with complex land covers. In the model, state variables include depression storage on land surfaces and canopies, soil
Ageβperiodβcohort decomposition of aggre
β
Kosei Fukuda
π
Article
π
2006
π
John Wiley and Sons
π
English
β 168 KB