Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models

dc.contributor.author	Stojanović, Vladica
dc.contributor.author	Kevkić, Tijana
dc.contributor.author	Vujaković, Jelena
dc.contributor.author	Jelić, Gordana
dc.contributor.author	Pažun, Brankica
dc.date.accessioned	2023-03-31T10:52:00Z
dc.date.available	2023-03-31T10:52:00Z
dc.identifier.uri	https://platon.pr.ac.rs/handle/123456789/1156
dc.description.abstract	In this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula.	en_US
dc.language.iso	en_US	en_US
dc.publisher	UNIVERSITY POLITEHNICA OF BUCHAREST	en_US
dc.title	Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models	en_US
dc.title.alternative	UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS	en_US
dc.type	clanak-u-casopisu	en_US
dc.description.version	publishedVersion	en_US
dc.citation.volume	83
dc.citation.issue	1
dc.subject.keywords	Mellin transforms	en_US
dc.subject.keywords	SV models	en_US
dc.subject.keywords	approximation	en_US
dc.subject.keywords	Gaussian probability distribution	en_US
dc.type.mCategory	M23	en_US
dc.type.mCategory	openAccess	en_US
dc.type.mCategory	M23	en_US
dc.type.mCategory	openAccess	en_US
dc.identifier.ISSN	1223-7027