Hybrid scheme for Brownian semistationary processes

DOI10.1007/s00780-017-0335-5zbMath1385.6501arXiv1507.03004OpenAlexW3125017247WikidataQ59613314 ScholiaQ59613314MaRDI QIDQ6032782

Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen

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

zbMATH Keywords

discretizationestimationtime seriesBrownian motionregular variationstochastic volatilityoption pricingsimulationsnumerical experimentvolatility smileWiener integralsstochastic integral equationsRiemann sumBrownian semistationary processrough volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Generalized stochastic processes (60G20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Stochastic particle methods (65C35)

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