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Titel:

A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bannör, K. F.; Schulz, T.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Stichworte:
financial market model, Barndor-Nielsen-Shephard model, stochastic volatility, jump-diffusion model, time change, characteristic function, Lévy processes
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
International Journal of Theoretical and Applied Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Band / Volume:
19
Heft / Issue:
8
Seitenangaben Beitrag:
-
Reviewed:
nein
Sprache:
en
Volltext / DOI:
doi:10.1142/S0219024916500448
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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