Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477): Difference between revisions
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Revision as of 13:06, 20 February 2024
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| English | 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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