A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS |
scientific article |
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A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (English)
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4 January 2017
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Barndorff-Nielsen-Shephard model
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stochastic volatility
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jump-diffusion model
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time change
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Lévy processes
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