Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model

Stochastic Processes and their Applications

Volumn 115, Issue 7, 2005, Pages 1167-1186

  Masuda, Hiroki ^a   Yoshida, Nakahiro ^b  

^a KYUSHU UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Edgeworth expansion; L vy process; Mixing; Non Gaussian Ornstein Uhlenbeck process; Stochastic volatility model

Indexed keywords

ASYMPTOTIC STABILITY; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); MATHEMATICAL MODELS;

EDGEWORTH EXPANSION; LEVY PROCESS; NON-GAUSSIAN ORNSTEIN-UHLENBECK PROCESS; STOCHASTIC VOLATILITY MODEL;

RANDOM PROCESSES;

EID: 20344381297     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2005.02.007     Document Type: Article

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