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We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian...
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a mixture stochastic volatility model providing a tractable method for capturing certain market characteristics. To … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …
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markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for …
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