Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 08:18, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model |
scientific article |
Statements
Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (English)
0 references
5 August 2005
0 references
The paper provides an Edgeworth expansion for log-returns of a stock price in Barndorff-Nielsen-Shephard stochastic volatility model.
0 references
