Analysis and simulation of stock price in a stochastic volatility model with jumps

DOI10.13413/J.CNKI.JDXBLXB.2016.02.18zbMATH Open1349.91290MaRDI QIDQ2990565FDOQ2990565

Authors: Guilan Cao, Yuan Zhou 

Publication date: 10 August 2016

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zbMATH Keywords

CIR processstochastic volatilitycompound Poisson processMonte Carlo exact simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• A slightly depressing jump model: intraday volatility pattern simulation
• Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

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