Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)

DOI10.1111/1467-9868.00282MaRDI QIDQ2729107zbMATH OpenOpenAlexWikidataFDO

Authors Ole E. Barndorff-Nielsen, Neil Shephard

Publication date 21 April 2002

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9868.00282

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]long-range dependenceoption pricingOrnstein-Uhlenbeck processstochastic differential equationstochastic volatilitysubordination

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35)

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