Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model

DOI10.1016/J.SPA.2005.02.007zbMath1085.60048OpenAlexW2041316587MaRDI QIDQ2485477

Nakahiro Yoshida, Hiroki Masuda

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.02.007

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

Partial mixing and Edgeworth expansion ⋮ Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps ⋮ High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ On the limit distributions of continuous-state branching processes with immigration ⋮ Asymptotic analysis for stochastic volatility: martingale expansion ⋮ Estimation and prediction of a non-constant volatility ⋮ Regularized reconstruction of a surface from its measured gradient field

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
• Malliavin calculus and asymptotic expansion for martingales
• Processes of normal inverse Gaussian type
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Affine processes and applications in finance
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Malliavin calculus, geometric mixing, and expansion of diffusion functionals
• Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
• Partial mixing and Edgeworth expansion
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Asymptotic expansions for sums of weakly dependent random vectors
• Some recent developments in stochastic volatility modelling
• VASIČEK BEYOND THE NORMAL
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• A characterization of stable processes
• Malliavin calculus and martingale expansion

This page was built for publication: Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model