A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS

DOI10.1142/S0219024916500448zbMath1396.91737MaRDI QIDQ2953304

Thorsten Schulz, Karl Friedrich Hofmann

Publication date: 4 January 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Lévy processesstochastic volatilitytime changejump-diffusion modelBarndorff-Nielsen-Shephard model

Mathematics Subject Classification ID

Related Items (1)

INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS

Cites Work

• An introduction to copulas.
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Financial Modelling with Jump Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
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