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

DOI10.1016/j.spa.2005.02.007zbMath1085.60048OpenAlexW2041316587MaRDI QIDQ2485477

Nakahiro Yoshida, Hiroki Masuda

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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