Dynamics of a mean-reverting stochastic volatility equation with regime switching

被引：6
|
作者：
Zhu, Yanling [1 ]
Wang, Kai [1 ,2 ]
Ren, Yong [3 ]
机构：
[1] Anhui Univ Finance & Econ, Dept Appl Math, Bengbu 233030, Peoples R China
[2] Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China
[3] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China
来源：
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2020年 / 83卷
关键词：
Mean-reverting stochastic volatility equation; Global positive solution; Asymptotic boundedness in pth moment; Positive recurrence; Stationary distribution;
D O I：
10.1016/j.cnsns.2019.105110
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider a mean-reverting stochastic volatility equation with regime switching, and present some sufficient conditions for the existence of global positive solution, asymptotic boundedness in pth moment, positive recurrence and existence of stationary distribution of this equation. Some results obtained in this paper extend the ones in literature. Example is given to verify the results by simulation. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页数：8
相关论文
共 50 条
  • [21] Valuation of Swing Options under a Regime-Switching Mean-Reverting Model
    Shao, Lingjie
    Xiang, Kaili
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2019, 2019
  • [22] Euler-Maruyama Approximation for Mean-Reverting Regime Switching CEV Process
    Xu, Ruxing
    Wu, Dan
    [J]. PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON APPLIED MATHEMATICS, SIMULATION AND MODELLING, 2016, 41 : 88 - 92
  • [23] Estimation of Parameters in Mean-Reverting Stochastic Systems
    Tian, Tianhai
    Zhou, Yanli
    Wu, Yonghong
    Ge, Xiangyu
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2014, 2014
  • [24] A Jump Diffusion Model with Fast Mean-Reverting Stochastic Volatility for Pricing Vulnerable Options
    Nthiwa, Joy K.
    Kube, Ananda O.
    Omari, Cyprian O.
    [J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2023, 2023
  • [25] Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
    Feng, Jin
    Forde, Martin
    Fouque, Jean-Pierre
    [J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2010, 1 (01): : 126 - 141
  • [26] Double barrier option under regime-switching exponential mean-reverting process
    Eloe, P.
    Liu, R. H.
    Sun, J. Y.
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2009, 86 (06) : 964 - 981
  • [27] Stochastic volatility and the mean reverting process
    Sabanis, S
    [J]. JOURNAL OF FUTURES MARKETS, 2003, 23 (01) : 33 - 47
  • [28] STOCK-PRICE VOLATILITY, MEAN-REVERTING DIFFUSION, AND NOISE
    MERVILLE, LJ
    PIEPTEA, DR
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 1989, 24 (01) : 193 - 214
  • [29] Harvesting in a Fishery with Stochastic Growth and a Mean-Reverting Price
    Sturla Furunes Kvamsdal
    Diwakar Poudel
    Leif Kristoffer Sandal
    [J]. Environmental and Resource Economics, 2016, 63 : 643 - 663
  • [30] Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model
    Liu, Hsuan-Ku
    [J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2015, 6 (01): : 53 - 65
12345