Statistical estimation of Lévy-type stochastic volatility models

DOI10.1007/s10436-010-0150-xzbMath1298.62146OpenAlexW1965494536MaRDI QIDQ470521

José E. Figueroa-López

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0150-x

zbMATH Keywords

stochastic volatilitynonparametric estimationparameter estimation based on high-frequency datarandom clocktime-changed Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (10)

Estimation of tempered stable Lévy models of infinite variation ⋮ Estimation of the activity of jumps in time-changed Lévy models ⋮ Stock markets fragmentation, volatility and final investors ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ Third-order short-time expansions for close-to-the-money option prices under the CGMY model ⋮ Optimally thresholded realized power variations for Lévy jump diffusion models ⋮ Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ Asymptotically optimal discretization of hedging strategies with jumps ⋮ Optimal iterative threshold-kernel estimation of jump diffusion processes

Cites Work

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