Integrating Volatility Clustering Into Exponential Lévy Models
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Publication:3182422
DOI10.1239/jap/1253279842zbMath1188.91239OpenAlexW2033412868MaRDI QIDQ3182422
Tina Marquardt, Christian Bender
Publication date: 8 October 2009
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1253279842
Processes with independent increments; Lévy processes (60G51) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
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Cites Work
- Stochastic calculus for convoluted Lévy processes
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Additive processes and stochastic integrals
- Equivalence of Volterra processes.
- Fractional Lévy processes with an application to long memory moving average processes
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- On simulation from infinitely divisible distributions
- Option Pricing With V. G. Martingale Components1
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- Simulation and inference for stochastic volatility models driven by Levy processes
- Lévy-driven CARMA processes
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