Discrete-Time Approximation of Functionals in Models of Ornstein-Uhlenbeck Type, with Applications to Finance
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| 003 | CHVBK | ||
| 005 | 20210128100733.0 | ||
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| 008 | 210128e20150601xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s11009-013-9351-x |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9351-x | ||
| 100 | 1 | |a Schröder |D Michael |u Keplerstraße 30, 69469, Weinheim, Bergstraße, Germany |4 aut | |
| 245 | 1 | 0 | |a Discrete-Time Approximation of Functionals in Models of Ornstein-Uhlenbeck Type, with Applications to Finance |h [Elektronische Daten] |c [Michael Schröder] |
| 520 | 3 | |a The paper provides benchmark approximation techniques for handling in models in continuous-time functional relationships in variables that are sampled discretely over time. The methods are demonstrated for value-functional-type of expectations in models of Ornstein-Uhlenbeck type. Based on Laguerre reduction series, a three-step program for these functionals is shown to result in both a continuous and a discrete time setting. The program is illustrated in the options case and in models based on GIG-distributions, yielding novel series representations for calibration when variance is discretely-sampled in particular. By numerical examples it is shown how the series enable computation accuracies of some 3 decimal places, for example, with just a single digit number of terms; for this the paper considers discretely-sampled situations with dimensions of up to 4 digits, and even in these dimensions significant discrepancies with the continuously-sampled values are found to persist. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Lévy processes |2 nationallicence | |
| 690 | 7 | |a Generalized OU processes |2 nationallicence | |
| 690 | 7 | |a Orthogonal polynomials |2 nationallicence | |
| 690 | 7 | |a Laguerre reduction series |2 nationallicence | |
| 690 | 7 | |a Numerical methods for functionals of Lévy processes |2 nationallicence | |
| 690 | 7 | |a Stochastic volatility models |2 nationallicence | |
| 690 | 7 | |a Explicit methods for contingent claim valuation |2 nationallicence | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 285-313 |x 1387-5841 |q 17:2<285 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9351-x |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9351-x |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Schröder |D Michael |u Keplerstraße 30, 69469, Weinheim, Bergstraße, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 285-313 |x 1387-5841 |q 17:2<285 |1 2015 |2 17 |o 11009 | ||