Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

DOI10.1111/1467-9469.00331zbMath1051.60048OpenAlexW2152817870MaRDI QIDQ4828199

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 24 November 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00331

zbMATH Keywords

stochastic volatilityoption pricingOrnstein-Uhlenbeck processLévy processintegrated varianceeconometricsLévy densitycumulant functionchronometerbackground driving Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Probability measures, Lévy measures and analyticity in time
• Generalized gamma convolutions and related classes of distributions and densities
• Empirical modeling of exchange rate dynamics
• Processes of normal inverse Gaussian type
• On the Lévy measure of the lognormal and the logCauchy distributions
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Superposition of Ornstein--Uhlenbeck Type Processes
• The Distribution of Realized Exchange Rate Volatility

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