Distributional properties of continuous time processes: from CIR to bates
From MaRDI portal
Publication:6065669
DOI10.1007/s10182-022-00459-3OpenAlexW4293104825MaRDI QIDQ6065669
Ostap Okhrin, Manuel Schmid, Michael Rockinger
Publication date: 15 November 2023
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-022-00459-3
stochastic volatilityCIR processdistributional propertiesjump diffusionsquare-root processhigher moments
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mathematical methods for financial markets.
- A closed-form formula for the conditional moments of the extended CIR process
- A survey and some generalizations of Bessel processes
- On the surprising explanatory power of higher realized moments in practice
- Stochastic calculus for finance. II: Continuous-time models.
- Two singular diffusion problems
- A Theory of the Term Structure of Interest Rates
- A decomposition of Bessel Bridges
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: Distributional properties of continuous time processes: from CIR to bates
