A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304): Difference between revisions

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Latest revision as of 06:46, 13 July 2024

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A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
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    A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (English)
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    4 January 2017
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    Barndorff-Nielsen-Shephard model
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    stochastic volatility
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    jump-diffusion model
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    time change
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    Lévy processes
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