A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304)
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scientific article; zbMATH DE number 6670221
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS |
scientific article; zbMATH DE number 6670221 |
Statements
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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0.9119059
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0.9028653
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0.9026037
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0.88834083
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0.8852126
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0.8850021
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0.8845262
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0.8818923
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0.8782202
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