Higher order variation and stochastic volatility models.
Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.
| Үндсэн зохиолчид: | , |
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| Формат: | Working paper |
| Хэл сонгох: | English |
| Хэвлэсэн: |
Nuffield College (University of Oxford)
2001
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