داستان آبیدیک

lévy process


فارسی

1 عمومی:: فرایند لوی

We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy processes for sto- chastic volatility. We write the price and volatility processes as integrals against a vector Lévy process, which makes series approximation methods directly applicable. We also present a new, and apparently quite flexible, bivariate mixture-of-gammas model for the driving Lévy process. KEY WORDS: Diffusions; Lévy process; Quadratic variation; Realized variance; Simulation; Stochas- tic volatility. Recently, Barndorff-Nielsen and Shephard (2001a, b) sug- gested a completely new class of models, termed non-Gaussian Ornstein-Uhlenbeck (OU) models, in which the driving process for a volatility factor is a pure-jump Lévy process with non- negative increments; simple parametric sign restrictions ensure positivity.

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