Time scales in stochastic multiregional models
نویسندگان
چکیده
منابع مشابه
Multiple time scales and the empirical models for stochastic volatility
The most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull–White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will try to answer the question which of the stochastic volatility models indicated above is the most realistic....
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ژورنال
عنوان ژورنال: Nonlinear Analysis: Real World Applications
سال: 2000
ISSN: 1468-1218
DOI: 10.1016/s0362-546x(99)00395-8