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Algebraic solution of the Stein-Stein model for stochastic volatility

dc.contributor.authorSophocleous, Christodoulosen
dc.contributor.authorO'Hara, John G.en
dc.contributor.authorLeach, Peter G. L.en
dc.creatorSophocleous, Christodoulosen
dc.creatorO'Hara, John G.en
dc.creatorLeach, Peter G. L.en
dc.date.accessioned2019-12-02T10:38:22Z
dc.date.available2019-12-02T10:38:22Z
dc.date.issued2011
dc.identifier.issn1007-5704
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/57651
dc.description.abstractWe provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend our investigation to the case in which the parameters of the model are time-dependent. Our algorithmic approach obviates the need for Ansätze for the structure of the solution. © 2010 Elsevier B.V.en
dc.sourceCommunications in Nonlinear Science and Numerical Simulationen
dc.source.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-78049406672&doi=10.1016%2fj.cnsns.2010.08.008&partnerID=40&md5=65c9097952cc09fc173ede4875310936
dc.subjectAlgebraen
dc.subjectRandom processesen
dc.subjectStochastic processesen
dc.subjectDifferential equationsen
dc.subjectStochastic systemsen
dc.subjectStochastic modelsen
dc.subjectNonlinear equationsen
dc.subjectTime-dependenten
dc.subjectSymmetry analysisen
dc.subjectNonlinear evolution equationen
dc.subjectSimilarity solutionsen
dc.subjectStochastic volatilityen
dc.subjectNonlinear evolution equationsen
dc.subjectStochastic processen
dc.subjectAlgebraic approachesen
dc.subjectAlgebraic solutionen
dc.subjectAlgorithmic approachen
dc.subjectMartingale measuresen
dc.subjectSimilarity solutionen
dc.titleAlgebraic solution of the Stein-Stein model for stochastic volatilityen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1016/j.cnsns.2010.08.008
dc.description.volume16
dc.description.issue4
dc.description.startingpage1752
dc.description.endingpage1759
dc.author.facultyΣχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences
dc.author.departmentΤμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.type.uhtypeArticleen
dc.description.notes<p>Cited By :8</p>en
dc.source.abbreviationComm.Nonlinear Sci.Numer.Simul.en
dc.contributor.orcidSophocleous, Christodoulos [0000-0001-8021-3548]
dc.gnosis.orcid0000-0001-8021-3548


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