The Ornstein-Uhlenbeck process and variance gamma process: parameter estimation and simulations

MaRDI QIDQ6126907zbMATH OpenFDO

Authors

Publication date 10 April 2024

Full work available at URL https://thaijmath2.in.cmu.ac.th/index.php/thaijmath/article/view/1477

zbMATH Keywords

Ornstein-Uhlenbeck (OU) processstochastic volatility (SV) modelvariance gamma (VG) model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Generalized stochastic processes (60G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Some stationary processes in discrete and continuous time

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