An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model

Abstract

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 asymptotic equation. The constructed algorithm is applied to economet-ric analysis of daily GAZPROM share prices and values of S&P500 Index options (SPX).stochastic volatility model; Fokker-Planck-Kolmogorov equation