Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models
Само за регистроване кориснике
2021
Чланак у часопису (Објављена верзија)
Метаподаци
Приказ свих података о документуАпстракт
In this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula.
Кључне речи:
Mellin transforms / SV models / approximation / Gaussian probability distributionИзвор:
U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics, 2021, 83, 1, 169-178Издавач:
- Bucharest : University Politehnica
Институција/група
JakovTY - JOUR AU - Stojanović, Vladica AU - Kevkić, Tijana AU - Vujaković, Jelena AU - Jelić, Gordana AU - Pažun, Brankica PY - 2021 UR - https://jakov.kpu.edu.rs/handle/123456789/1670 AB - In this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula. PB - Bucharest : University Politehnica T2 - U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics T1 - Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models VL - 83 IS - 1 SP - 169 EP - 178 UR - https://hdl.handle.net/21.15107/rcub_jakov_1670 ER -
@article{ author = "Stojanović, Vladica and Kevkić, Tijana and Vujaković, Jelena and Jelić, Gordana and Pažun, Brankica", year = "2021", abstract = "In this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula.", publisher = "Bucharest : University Politehnica", journal = "U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics", title = "Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models", volume = "83", number = "1", pages = "169-178", url = "https://hdl.handle.net/21.15107/rcub_jakov_1670" }
Stojanović, V., Kevkić, T., Vujaković, J., Jelić, G.,& Pažun, B.. (2021). Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics Bucharest : University Politehnica., 83(1), 169-178. https://hdl.handle.net/21.15107/rcub_jakov_1670
Stojanović V, Kevkić T, Vujaković J, Jelić G, Pažun B. Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics. 2021;83(1):169-178. https://hdl.handle.net/21.15107/rcub_jakov_1670 .
Stojanović, Vladica, Kevkić, Tijana, Vujaković, Jelena, Jelić, Gordana, Pažun, Brankica, "Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models" in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics, 83, no. 1 (2021):169-178, https://hdl.handle.net/21.15107/rcub_jakov_1670 .