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Document type:
Zeitschriftenaufsatz 
Author(s):
Bannör, K. F.; Schulz, T. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps 
Abstract:
We present a general class of stochastic volatility models with jumps where the stochastic variance process follows a Lévy-driven Ornstein-Uhlenbeck (OU) process and the jumps in the log-price process follow a Lévy process. This financial market model is a true extension of the Barndor-Nielsen-Shephard (BNS) model class and can establish a weak link between log-price jumps and volatility jumps. Furthermore, we investigate the weak-link Gamma-OU-BNS model as a special case, where we calculate the...    »
 
Keywords:
financial market model, Barndor-Nielsen-Shephard model, stochastic volatility, jump-diffusion model, time change, characteristic function, Lévy processes 
Intellectual Contribution:
Discipline-based Research 
Journal title:
International Journal of Theoretical and Applied Finance 
Journal listet in FT50 ranking:
nein 
Year:
2016 
Journal volume:
19 
Journal issue:
Pages contribution:
Reviewed:
nein 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
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