Subordinated α-stable Ornstein-Uhlenbeck process as a tool for financial data description

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 23-24, 2011, Pages 4379-4387

  Janczura, Joanna ^a   Orzeł, Sebastian ^a   Wyłomańska, Agnieszka ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Calibration; Estimation; Interest rates; OrnsteinUhlenbeck process; Subdiffusion; stable distribution

Indexed keywords

CALIBRATION; ESTIMATION; PROBABILITY DENSITY FUNCTION;

BROWNIAN DIFFUSION; ESTIMATION METHODS; FINANCIAL MODELS; INTEREST RATES; ORNSTEIN-UHLENBECK; ORNSTEIN-UHLENBECK PROCESS; STABLE DISTRIBUTIONS; SUBDIFFUSION;

FINANCE;

EID: 80052602939     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.07.007     Document Type: Article

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