Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2009
· Ornstein–Uhlenbeck process · square root diffusion · L´evy process · Heston
model · Barndorff-Nielsen & Shephard model
JEL … volatility is modelled as a square root diffusion, see Cox et al. (1985),
and the Barndorff-Nielsen & Shephard model, in which …
