Bias in the estimation of mean reversion in continuous-time Lévy processes
Yong Bao, Aman Ullah, Yun Wang, Jun Yu
| Year of publication: |
September 2015
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|---|---|
| Authors: | Bao, Yong ; Ullah, Aman ; Wang, Yun ; Yu, Jun |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 134.2015, p. 16-19
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| Subject: | Bias | Mean reversion parameter | Lévy processes | Mean Reversion | Mean reversion | Stochastischer Prozess | Stochastic process | Systematischer Fehler | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2015.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011432138