Hybrid scheme for Brownian semistationary processes
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
| Year of publication: |
October 2017
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|---|---|
| Authors: | Bennedsen, Mikkel ; Lunde, Asger ; Pakkanen, Mikko S. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 4, p. 931-965
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| Subject: | Stochastic simulation | Discretization | Brownian semistationary process | Stochastic volatility | Regular variation | Estimation | Option pricing | Rough volatility | Volatility smile | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0335-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944457