A GEOMETRIC BROWNIAN MOTION MODEL WITH COMPOUND POISSON PROCESS AND FRACTIONAL STOCHASTIC VOLATILITY

被引：0
|
作者：
Intarasit, A. [1 ]
Sattayatham, P. [1 ]
机构：
[1] Suranaree Univ Technol, Dept Math, Nakhon Ratchasima, Thailand
来源：
ADVANCES AND APPLICATIONS IN STATISTICS | 2010年 / 16卷 / 01期
关键词：
geometric Brownian motion; compound Poisson process; fractional stochastic volatility; approximate models;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we introduce an approximate approach to a geometric Brownian motion (gBm) model with compound Poisson processes and fractional stochastic volatility. Based on a fundamental result on the L-2 -approximation of this fractional noise by semimartingales, we prove a convergence theorem concerning an approximate solution. A simulation example shows a significant reduction of error in a gBm with jump and fractional stochastic volatility as compared to the stochastic volatility.
引用
收藏
页码：25 / 47
页数：23
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