Analytically Tractable Stochastic Stock Price Models
Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes
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Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Klüppelberg W. Schachermayer
Springer Finance Springer Finance is a programme of books addressing students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
For further volumes: http://www.springer.com/series/3674
Archil Gulisashvili
Analytically Tractable Stochastic Stock Price Models
Archil Gulisashvili Department of Mathematics Ohio University Athens, OH, USA
ISBN 978-3-642-31213-7 ISBN 978-3-642-31214-4 (eBook) DOI 10.1007/978-3-642-31214-4 Springer Heidelberg New York Dordrecht London Library of Congress Control Number: 2012945072 Mathematics Subject Classification (2010): 91Gxx, 91G80, 91B25, 91G20 JEL Classification: GO2, G13 © Springer-Verlag Berlin Heidelberg 2012 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To Olga, Alex, and Misha
Preface
This book focuses primarily on applications of mathematical analysis to stock price models with stochastic volatility and more general stochastic asset price models. The central
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