Integrated OU processes and non-gaussian OU-based stochastic volatility models

Barndorff-Nielsen, Ole E., Shephard, Neil . Scandinavian Journal of Statistics 2003. 30 (2) :277-295

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Bibtex

@article{CIS-187002,
  Author = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
  Title = {Integrated  OU processes and non-gaussian OU-based stochastic volatility models},
  Journal = {Scandinavian Journal of Statistics},
  Volume = {30},
  Number = {2},
  Year = {2003},
  Pages = {277--295},
  Keywords = {Econometrics, Integrated variance, Lévy process, Option pricing, background driving Lévy process, Lévy density, chronometer, co-break, Kumulant function}
}

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