Calculation of stochastic volatility integral s density when the volatility is assumed to be a discrete markovprocess with two states | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2003. № 280.

HomeIssuesCalculation of stochastic volatility integral s density when the volatility is assumed to be a discrete markovprocess with two states | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2003. № 280.

Calculation of stochastic volatility integral s density when the volatility is assumed to be a discrete markovprocess with two states

Financial derivative s fair pricing is the centralproblem of the stock market analysis. However the mean of the price valuation requires the integral of volatility in second degree tobe evaluated. The density function of that integral can be defined just in few cases. One of the cases is described in this paper.

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Authors

NameOrganizationE-mail
Sotnikova E.E.Tomsk Branch of open joint stock company VneshtorgbankElena_postbox@mail.ru
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References

Calculation of stochastic volatility integral s density when the volatility is assumed to be a discrete markovprocess with two states | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2003. № 280.

Calculation of stochastic volatility integral s density when the volatility is assumed to be a discrete markovprocess with two states | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2003. № 280.

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