Examples of financial market models obtained by euler discretization of continuous models

Detalhes bibliográficos
Autor(a) principal: Esquível, Manuel Leote
Data de Publicação: 2020
Outros Autores: Krasii, Nadezhda P.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/121165
Resumo: This work was done under partial financial support of RFBR (Grant n. 19-01-00451).
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spelling Examples of financial market models obtained by euler discretization of continuous modelsCommodity pricesCoupled stochastic differential equations systemEuler-Maruyama discretizationGirsanov change of probability in discrete timeNaive stochastic integration in Hilbert spaceStatistics and ProbabilityDiscrete Mathematics and CombinatoricsThis work was done under partial financial support of RFBR (Grant n. 19-01-00451).We present a methodology to study discrete time financial models with one risky asset and a risk free asset that may thought to result as a discretization of a suitable continuous time model. In a numerical example we compare the pricing results, obtained with these models, with results obtained from the related continuous time models. Our approach relies on some known important results describing a particular class of discrete time models – the conditionally Gaussian models – a class that, regardless of its particular definition, contains many interesting instances. We aim at a better understanding of the implications of the discretization procedures which are inevitable, both at the parameter estimation and derivative price computation moments, by reason of the observational and computational limitations. We also present a preliminary study of a a model of stochastic differential equations for commodity spot and futures prices that may be studied with the proposed methodology. For that purpose we summarize a naive theory of Ito integration in Hilbert space.CMA - Centro de Matemática e AplicaçõesDM - Departamento de MatemáticaRUNEsquível, Manuel LeoteKrasii, Nadezhda P.2021-07-16T22:21:37Z2020-01-012020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article20application/pdfhttp://hdl.handle.net/10362/121165eng2248-9444PURE: 32404854info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:03:28Zoai:run.unl.pt:10362/121165Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:32.327857Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Examples of financial market models obtained by euler discretization of continuous models
title Examples of financial market models obtained by euler discretization of continuous models
spellingShingle Examples of financial market models obtained by euler discretization of continuous models
Esquível, Manuel Leote
Commodity prices
Coupled stochastic differential equations system
Euler-Maruyama discretization
Girsanov change of probability in discrete time
Naive stochastic integration in Hilbert space
Statistics and Probability
Discrete Mathematics and Combinatorics
title_short Examples of financial market models obtained by euler discretization of continuous models
title_full Examples of financial market models obtained by euler discretization of continuous models
title_fullStr Examples of financial market models obtained by euler discretization of continuous models
title_full_unstemmed Examples of financial market models obtained by euler discretization of continuous models
title_sort Examples of financial market models obtained by euler discretization of continuous models
author Esquível, Manuel Leote
author_facet Esquível, Manuel Leote
Krasii, Nadezhda P.
author_role author
author2 Krasii, Nadezhda P.
author2_role author
dc.contributor.none.fl_str_mv CMA - Centro de Matemática e Aplicações
DM - Departamento de Matemática
RUN
dc.contributor.author.fl_str_mv Esquível, Manuel Leote
Krasii, Nadezhda P.
dc.subject.por.fl_str_mv Commodity prices
Coupled stochastic differential equations system
Euler-Maruyama discretization
Girsanov change of probability in discrete time
Naive stochastic integration in Hilbert space
Statistics and Probability
Discrete Mathematics and Combinatorics
topic Commodity prices
Coupled stochastic differential equations system
Euler-Maruyama discretization
Girsanov change of probability in discrete time
Naive stochastic integration in Hilbert space
Statistics and Probability
Discrete Mathematics and Combinatorics
description This work was done under partial financial support of RFBR (Grant n. 19-01-00451).
publishDate 2020
dc.date.none.fl_str_mv 2020-01-01
2020-01-01T00:00:00Z
2021-07-16T22:21:37Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/121165
url http://hdl.handle.net/10362/121165
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2248-9444
PURE: 32404854
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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