Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

DOI10.1111/1467-9469.00331zbMath1051.60048MaRDI QIDQ4828199

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 24 November 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00331

zbMATH Keywords

stochastic volatility; option pricing; Ornstein-Uhlenbeck process; Lévy process; integrated variance; econometrics; Lévy density; cumulant function; chronometer; background driving Lévy process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P20: Applications of statistics to economics

91G70: Statistical methods; risk measures

60G10: Stationary stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G20: Derivative securities (option pricing, hedging, etc.)

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