Non-Gaussian OU based models and some of their uses in financial economics
Year of publication: |
2000
|
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Authors: | Barndorff-Nielsen, Ole E. ; Shephard, Neil G. |
Publisher: |
Oxford : Oxford Financial Research Centre |
Subject: | Background driving L´evy process | Econometrics | L´evy density | L´evy process | Long range dependence | Option pricing | OU processes | Particle filter | Stochastic volatility | Subordination | Superposition | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Derivat | Derivative | Statistische Verteilung | Statistical distribution |
Extent: | Online-Ressource (PDF-Datei: 42 S., 556 kB ) |
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Series: | Mathematical finance. - Oxford, ZDB-ID 2485418-9. - Vol. 2000,01 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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