Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2014
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity at...