Extremal behavior of stochastic volatility models (Q3511642)
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scientific article; zbMATH DE number 5299703
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| English | Extremal behavior of stochastic volatility models |
scientific article; zbMATH DE number 5299703 |
Statements
11 July 2008
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COGARCH
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extreme value theory
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generalized Cox-Ingersoll-Ross model
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Lévy processes
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Ornstein-Uhlenbeck processes
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0.8438912630081177
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0.8332751393318176
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0.8100912570953369
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0.7961680293083191
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