Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
DOI10.1016/J.SPA.2005.02.007zbMATH Open1085.60048OpenAlexW2041316587MaRDI QIDQ2485477FDOQ2485477
Authors: Hiroki Masuda, Nakahiro Yoshida 
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.02.007
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Cited In (10)
- Regularized reconstruction of a surface from its measured gradient field
- Asymptotic expansion for some local volatility models arising in finance
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- Estimation and prediction of a non-constant volatility
- Asymptotic expansion and estimates of Wiener functionals
- Partial mixing and Edgeworth expansion
- Asymptotic analysis for stochastic volatility: martingale expansion
- Martingale expansion in mixed normal limit
- On the limit distributions of continuous-state branching processes with immigration
- High order asymptotic expansion for Wiener functionals
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