Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model

DOI10.1016/J.SPA.2005.02.007MaRDI QIDQ2485477zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Partial mixing and Edgeworth expansion
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Processes of normal inverse Gaussian type
• Some recent developments in stochastic volatility modelling
• VASIČEK BEYOND THE NORMAL

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 -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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