Kritski, Oleg; Ulyanova, Marina - In: Applied Econometrics 8 (2007) 4, pp. 3-17
The method of evaluation of stochastic volatility (SV) model coefficients, with time going to the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the analytical solution of the Fokker-Planck-Kolmogorov...