A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761)
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scientific article; zbMATH DE number 7402324
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| default for all languages | No label defined |
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| English | A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process |
scientific article; zbMATH DE number 7402324 |
Statements
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (English)
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28 September 2021
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stochastic volatility
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Hawkes processes
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jump clusters
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leverage effect
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exponential affine processes
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VIX
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implied volatility for VIX options
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0.7805336117744446
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0.775204598903656
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0.7712404727935791
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0.7695826292037964
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0.7678583264350891
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