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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| Hauptverfasser: | , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Public Library of Science (PLoS)
2015-01-01
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| Schriftenreihe: | PLoS ONE |
| Online-Zugang: | http://europepmc.org/articles/PMC4308111?pdf=render |
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