A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process

DOI10.3233/AF-180200MaRDI QIDQ4586461zbMATH OpenOpenAlexFDO

Authors Farzad Alavi Fard, Armin Pourkhanali, Malick Sy

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-180200

zbMATH Keywords

acceptance-rejectionnon-parametric estimationOrnstein-Uhlenbeck processout-of-samplestochastic volatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Statistical methods; risk measures (91G70)

Recommendations

• Nonparametric implied Lévy densities
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Cited in

(3)

• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
• A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
• Nonparametric implied Lévy densities

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