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...

The method of evaluation of stochastic volatility (SV) model coefficients, with time approaching the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the ana-lytical solution of the Fokker–Planck–Kholmogorov...