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

DOI10.3233/AF-180200zbMath1395.91509OpenAlexW2808991582MaRDI QIDQ4586461

Armin Pourkhanali, Malick Sy, Farzad Alavi Fard

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

stochastic volatilityOrnstein-Uhlenbeck processout-of-samplenon-parametric estimationacceptance-rejection

Mathematics Subject Classification ID

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

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