Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477): Difference between revisions

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Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
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    Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (English)
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    5 August 2005
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    The paper provides an Edgeworth expansion for log-returns of a stock price in Barndorff-Nielsen-Shephard stochastic volatility model.
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