Mean escape time in a system with stochastic volatility

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 75, Issue 1, 2007, Pages

  Bonanno, Giovanni ^a   Valenti, Davide ^a   Spagnolo, Bernardo ^a  

^a UNIVERSITY OF PALERMO   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; INVENTORY CONTROL; MARKETING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY DENSITY FUNCTION; STATISTICAL METHODS; STOCHASTIC PROGRAMMING;

BROWNIAN PARTICLES; HESTON MODEL; MARKET DATA; STOCHASTIC VOLATILITY;

NONLINEAR SYSTEMS;

EID: 33846496851     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.75.016106     Document Type: Article

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