Sophocleous, C and O’Hara, JG and Leach, PGL (2011) Algebraic solution of the Stein–Stein model for stochastic volatility. Communications in Nonlinear Science and Numerical Simulation, 16 (4). pp. 1752-1759. DOI https://doi.org/10.1016/j.cnsns.2010.08.008
Sophocleous, C and O’Hara, JG and Leach, PGL (2011) Algebraic solution of the Stein–Stein model for stochastic volatility. Communications in Nonlinear Science and Numerical Simulation, 16 (4). pp. 1752-1759. DOI https://doi.org/10.1016/j.cnsns.2010.08.008
Sophocleous, C and O’Hara, JG and Leach, PGL (2011) Algebraic solution of the Stein–Stein model for stochastic volatility. Communications in Nonlinear Science and Numerical Simulation, 16 (4). pp. 1752-1759. DOI https://doi.org/10.1016/j.cnsns.2010.08.008
Abstract
We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend our investigation to the case in which the parameters of the model are time-dependent. Our algorithmic approach obviates the need for Ansätze for the structure of the solution. © 2010 Elsevier B.V.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Symmetry analysis; Similarity solutions; Stochastic processes; Nonlinear evolution equations |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 01 Feb 2013 15:54 |
| Last Modified: | 04 Dec 2024 06:35 |
| URI: | http://repository.essex.ac.uk/id/eprint/5443 |