Search Results - subject:"Quadratic Variation"

Higher order variation and stochastic volatility models

Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2001

Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.

Persistent link: https://www.econbiz.de/10010661336

Quadratic-Variation-Based Dynamic Strategies

Bick, Avi - In: Management Science 41 (1995) 4, pp. 722-732

The paper analyzes a family of dynamic trading strategies which do not rely on any stochastic process assumptions (aside from continuity and positivity) and in particular do not require predicting future volatilities. Derivative payoffs can still be replicated, except that this occurs at the...

Persistent link: https://www.econbiz.de/10009198085

Spectral characterization of the optional quadratic variation process

Dzhaparidze, Kacha; Spreij, Peter - In: Stochastic Processes and their Applications 54 (1994) 1, pp. 165-174

In this paper we show how the periodogram of a semimartingale can be used to characterize the optional quadratic … variation process. …

Persistent link: https://www.econbiz.de/10008875372

Quadratic variation of functionals of two-parameter Wiener process

Etemadi, Nasrollah; Wang, Albert T. - In: Journal of Multivariate Analysis 6 (1976) 4, pp. 630-643

The quadratic variation of functionals of the two-parameter Wiener process of the form f(W(s, t)) is investigated …, where W(s, t) is the standard two-parameter Wiener process and f is a function on the reals. The existence of the quadratic … variation is obtained under the condition that f' is locally absolutely continuous and fN is locally square integrable. …

Persistent link: https://www.econbiz.de/10005160600