Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
DOI10.1111/1467-9469.00331zbMath1051.60048MaRDI QIDQ4828199
Neil Shephard, Ole Eiler Barndorff-Nielsen
Publication date: 24 November 2004
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.00331
stochastic volatility; option pricing; Ornstein-Uhlenbeck process; Lévy process; integrated variance; econometrics; Lévy density; cumulant function; chronometer; background driving Lévy process
60G51: Processes with independent increments; Lévy processes
62P20: Applications of statistics to economics
91G70: Statistical methods; risk measures
60G10: Stationary stochastic processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G20: Derivative securities (option pricing, hedging, etc.)
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