Fitxers
Tipus de document
ArticleVersió
Versió publicadaData de publicació
Tots els drets reservats
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/65106
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
Títol de la revista
Director/Tutor
ISSN de la revista
Títol del volum
Recurs relacionat
Resum
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.
Matèries
Matèries (anglès)
Citació
Citació
GULISASHVILI, Archil and VIVES I SANTA EULÀLIA, Josep. Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models . Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 158-188. ISSN 1945-497X. [consulted: 21 of August of 2026]. Available at: https://hdl.handle.net/2445/65106