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عمومی::
حرک براونی
, one that could be presented as Brownian motion subordinated by nonnegative Lévy processes; see Rosin´ski 1991 for their series representa- tion).
For example, the model introduced by Barndorff-Nielsen and Shephard (2001a) can be obtained by setting LX(t) to be pure-jump Lévy subordinator, Lp2(t) to be a centered version of it, Lp1(t) to be Brownian motion, and the factor X(t) to follow an OU process.
(2003) are also em- bedded in the foregoing, provided that the time change is of a Brownian motion.
The stochastic volatility is usu- ally driven by Brownian motion; that is, in the framework here, LX(t) is a Brownian motion.
The leverage effect is captured by specifying Lp1(t) as another Brownian motion correlated with those driving the factors of the volatility.
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