A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process (Q4586461)
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scientific article; zbMATH DE number 6935962
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| English | A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 6935962 |
Statements
A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process (English)
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13 September 2018
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non-parametric estimation
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stochastic volatility
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Ornstein-Uhlenbeck process
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acceptance-rejection
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out-of-sample
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0.8022030591964722
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0.7866889238357544
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0.7862899303436279
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0.7815424203872681
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0.7745676636695862
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