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

页码：25 / 47

页数：23

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