Characterization of Variance Optimal Equivalent Local Martingale Measure and Stochastic Volatility Model with Small Diffusion Coefficient
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ანოტაცია
Characterization of variance optimal equivalent local martingale measure plays key role in several important problems of statistics of random processes. For stochastic volatility model with small diffusion coefficient the given characterization is used for robust statistic purposes.
საკვანძო სიტყვები:
Stochastic volatility, small diffusion coefficient, variance optimal equivalent local martingale measure
გამოქვეყნებული:
დეკ 23, 2024
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როგორ უნდა ციტირება
Toronjadze, T. (2024). Characterization of Variance Optimal Equivalent Local Martingale Measure and Stochastic Volatility Model with Small Diffusion Coefficient. ბიზნესის ადმინისტრირება, სამეცნიერო შრომების კრებული, 9. https://doi.org/10.62232/barp.9.2024.8575
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