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Results tagged with stochastic-processes
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user 46351
stochastic processes is a collection of random variables representing the evolution of some system of random values over time.
2
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1
answer
803
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Interpretation of parameters in the CGMY model
I would like to understand role of parameters $C,G,M,Y$ in CGMY model, especially $G$ and $M$. The Lévy measure is $$\nu(x)=C\frac{e^{-Mx}}{x^{1+Y}}1_{x>0}+C\frac{e^{-G|x|}}{|x|^{1+Y}}1_{x<0} $$In one …
- 433
8
votes
2
answers
3k
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Which process is the most commonly used for modeling stock prices?
I'm thinking of writing a master's thesis about pricing options using Levy processes, but I wonder if these processes are actually used for modeling stock prices or not (and which specifically)? And i …
- 433
1
vote
0
answers
380
views
Change of Numeraire technique (Cross-currency models)
Hey I have problem with understanding change of numeraire technique. For example we have
$dr^d(t)=\kappa_1(\theta_1(t)-r^d(t))dt+\sigma_1 dW_1$ (under measure $Q^1$ associated with domestic bank accou …
- 433
0
votes
1
answer
166
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how to price options in reality [closed]
I'm getting to know the Black Scholes model, which apparently is no longer suitable for pricing options on the market. I would like to write a Master's thesis on option pricing but I do not know what …
- 433