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Search: subject:"Ornstein–Uhlenbeck-type process"
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Ornstein–Uhlenbeck type process
2
long memory
2
stochastic volatility
2
Bayes test
1
Black-Scholes model
1
Black-Scholes-Modell
1
Generalized method of moments
1
Girsanov formula for diffusion-type processes
1
Hellinger integral
1
Inverse-Gaussian distribution
1
Large deviation theorems
1
Likelihood ratio
1
Lévy bases
1
Lévy basis
1
Martingal
1
Martingale
1
Martingale measures
1
Minimax test
1
Neyman–Pearson test
1
Option pricing theory
1
Optionspreistheorie
1
Ornstein-Uhlenbeck type process
1
Ornstein–Uhlenbeck-type process
1
Primary: 62F05
1
Secondary: 62C10
1
Stochastic delay differential equation
1
Stochastic process
1
Stochastischer Prozess
1
Volatility
1
Volatilität
1
factor modelling
1
linear transformations
1
option pricing
1
second order moment structure
1
superpositions
1
volatility smile
1
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English
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Stelzer, Robert
2
Barndorff-Nielsen, Ole Eiler
1
Gapeev, Pavel
1
Küchler, Uwe
1
SenGupta, Indranil
1
Tosstorff, Thomas
1
Wittlinger, Marc
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School of Economics and Management, University of Aarhus
1
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CREATES Research Papers
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International journal of theoretical and applied finance
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Statistical Inference for Stochastic Processes
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Statistics & Risk Modeling
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RePEc
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ECONIS (ZBW)
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Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
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2
The multivariate supOU stochastic volatility model
Barndorff-Nielsen, Ole Eiler
;
Stelzer, Robert
-
School of Economics and Management, University of Aarhus
-
2009
transformations, long memory,
Ornstein-Uhlenbeck
type
process
, second order moment structure, stochastic volatility 1 Introduction The …
Persistent link: https://www.econbiz.de/10008566316
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3
Moment based estimation of supOU processes and a related stochastic volatility model
Stelzer, Robert
;
Tosstorff, Thomas
;
Wittlinger, Marc
- In:
Statistics & Risk Modeling
32
(
2015
)
1
,
pp. 1-24
Abstract After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields consistent estimators and that it works...
Persistent link: https://www.econbiz.de/10014621214
Saved in:
4
On large deviations in testing Ornstein–Uhlenbeck-type models
Gapeev, Pavel
;
Küchler, Uwe
- In:
Statistical Inference for Stochastic Processes
11
(
2008
)
2
,
pp. 143-155
Persistent link: https://www.econbiz.de/10005184584
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