Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477)
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scientific article; zbMATH DE number 2192254
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| English | Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model |
scientific article; zbMATH DE number 2192254 |
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Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (English)
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5 August 2005
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The paper provides an Edgeworth expansion for log-returns of a stock price in Barndorff-Nielsen-Shephard stochastic volatility model.
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0.7747189998626709
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0.759223461151123
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0.7583990097045898
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0.7513210773468018
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0.7460058331489563
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