Sökning: "Yulia Mishura"

Hittade 1 avhandling innehållade orden Yulia Mishura.

1. 1. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

   Författare :Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Sammanfattning : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. LÄS MER