Hybrid scheme for Brownian semistationary processes
DOI10.1007/s00780-017-0335-5zbMath1385.6501arXiv1507.03004WikidataQ59613314 ScholiaQ59613314MaRDI QIDQ6032782
Mikko S. Pakkanen, Asger Lunde, Mikkel Bennedsen
Publication date: 23 October 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.03004
discretization; estimation; time series; Brownian motion; regular variation; stochastic volatility; option pricing; simulations; numerical experiment; volatility smile; Wiener integrals; stochastic integral equations; Riemann sum; Brownian semistationary process; rough volatility
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G60: Numerical methods (including Monte Carlo methods)
60G22: Fractional processes, including fractional Brownian motion
60G10: Stationary stochastic processes
65C20: Probabilistic models, generic numerical methods in probability and statistics
60G20: Generalized stochastic processes
65C30: Numerical solutions to stochastic differential and integral equations
60H20: Stochastic integral equations
65C35: Stochastic particle methods
