大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Invariant measures for stochastic volatility models

Miklós Rásonyi (Alfréd Rényi Institute of Mathematics)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. Invariant measures for stochastic volatility models

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第118回

Invariant measures for stochastic volatility models

Miklós Rásonyi (Alfréd Rényi Institute of Mathematics)

We consider a diffusion model for an asset price with a mean-reverting drift such that the volatility may be any continuous, stationary process (such as fractional volatility). We prove that whatever the initial price is, the system converges to an invariant probability.
We rely on a novel approach to Markov chains in random environments.