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A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation

We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show...

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Detalles Bibliográficos
Autores principales: Popescu, Dan M., Lipan, Ovidiu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2015
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4308111/
https://www.ncbi.nlm.nih.gov/pubmed/25625856
http://dx.doi.org/10.1371/journal.pone.0116752