On Volatility Induced Stationarity for Stochastic Differential Equations

J. M. P. Albin, Bjarne Astrup Jensen, Anders Muszta, Martin Richter

Publikation: Working paperForskning

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Abstrakt

This article deals with stochastic differential equations with volatility induced stationarity. We study of theoretical properties of such equations, as well as numerical aspects, together with a detailed study of three examples.
OriginalsprogEngelsk
UdgivelsesstedFrederiksberg
UdgiverDanish Center for Accounting and Finance (D-CAF)
Antal sider34
StatusUdgivet - jun. 2006
NavnD-CAF Working Paper
Nummer10

Emneord

  • CIR model
  • CKLS model
  • Heavy-tailed SDE
  • Hyperbolic SDE
  • Local martingale
  • Mean reversion
  • Numerical methods
  • Stochastic differential equation
  • Time changed SDE
  • Volatility induced stationarity

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