Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (Q4828199): Difference between revisions
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scientific article; zbMATH DE number 2118807
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
scientific article; zbMATH DE number 2118807 |
Statements
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (English)
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24 November 2004
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Lévy process
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background driving Lévy process
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cumulant function
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Lévy density
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chronometer
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integrated variance
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econometrics
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option pricing
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Ornstein-Uhlenbeck process
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stochastic volatility
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