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We formulate and prove a new criterion for stability of e–processes introduced by A. Lasota and T. Szarek [J. Differential Equations 231 (2006), 513–533]. In particular we prove that that any e–proces...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model conditional expectation of variance
2010/12/16
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of vari...