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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2015
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| 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 |