Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models.
Archil GulisashviliJosep VivesPublished in: SIAM J. Financial Math. (2015)
Keyphrases
- stock price
- asymptotic analysis
- stochastic models
- stochastic model
- fluid model
- non stationary
- stock market
- stochastic processes
- historical data
- stock exchange
- financial markets
- probability distribution
- financial data
- chinese stock market
- financial time series
- news articles
- marginal distributions
- stock returns
- arrival rate
- information retrieval
- random fields
- graphical models
- dynamic programming
- special case