Examples of financial market models obtained by euler discretization of continuous models
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | |
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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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 |
dc.format.none.fl_str_mv |
20 application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799138053236719616 |