This paper deals with the problem of the discrimination between stable and unstable time series. One criterion for the seperation is given by the size of the Lyapunov exponent, which was originally defined for deterministic systems. However, this paper will show, that the Lyapunov exponent can...

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Stochastic models approximate data and are not true representations of the same. Statistical procedure make use of approximate stochastic models to facilitate the analysis of data.