Stochastic volatility : approximation and goodness-of-fit test

• Autorzy: Gradinaru M. , Nourdin I.
• Języki publikacji: EN

Abstrakty

EN

Let X be the unique solution started from x₀ of the stochastic differential equation dX_t= θ(t;X_t)dB_t +b(t;X_t)dt with B a standard Brownian motion. We consider an approximation of the volatility θ(t;X_t), the drift being considered as a nuisance parameter. The approximation is based on a discrete time observation of X and we study its rate of convergence as a process. A goodness-of-fit test is also constructed.

Słowa kluczowe

EN

non parametric estimation; goodness-of-fit test; stochastic volatility; discrete time observation

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2008
• Tom: Vol. 28, Fasc. 1
• Strony: 1--19
• Opis fizyczny: Bibliogr. 15 poz., wykr.

Twórcy

autor

Gradinaru M.

• Institut de Recherche Mathématique de Rennes, Université de Rennes 1, Campus de Beaulieu, 35042 Rennes Cedex, France

autor

Nourdin I.

• Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Boîte courrier 188, 4 Place Jussieu 75252 Paris Cedex 5, France

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