Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (Q4828199)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 2118807
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
scientific article; zbMATH DE number 2118807 |
Statements
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (English)
0 references
24 November 2004
0 references
Lévy process
0 references
background driving Lévy process
0 references
cumulant function
0 references
Lévy density
0 references
chronometer
0 references
integrated variance
0 references
econometrics
0 references
option pricing
0 references
Ornstein-Uhlenbeck process
0 references
stochastic volatility
0 references
0 references
0.8069472908973694
0 references
0.8040558099746704
0 references
0.7928895950317383
0 references
0.781232476234436
0 references
0.7755988240242004
0 references
