A spectral estimation of tempered stable stochastic volatility models and option pricing
type: Item
instance of: scholarly article
title: A spectral estimation of tempered stable stochastic volatility models and option pricing
zbMATH Open document ID: 1254.91725
author: Junye Li
author: Fulvio Ortu
author: Carlo A. Favero
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
full work available at URL: RePEc:igi:igierp:370
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6119776
zbMATH Keywords: empirical characteristic function
zbMATH Keywords: stochastic volatility
zbMATH Keywords: infinite-activity jumps
zbMATH Keywords: option pricing
zbMATH Keywords: continuous GMM
MaRDI profile type: Publication
OpenAlex ID: W2129578627
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DOI: 10.1016/J.CSDA.2010.11.013
description: scientific article; zbMATH DE number 6119776