User: Guest  Login
More Searchfields
Simple search
Title:

A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps

Document type:
Zeitschriftenaufsatz
Author(s):
Bannör, K. F.; Schulz, T.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
8
Pages contribution:
-
Reviewed:
nein
Language:
en
Fulltext / DOI:
doi:10.1142/S0219024916500448
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
 BibTeX
versions