Hybrid scheme for Brownian semistationary processes - Research - Aarhus University

Hybrid scheme for Brownian semistationary processes

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Documents

Bennedsen2017_Article_HybridSchemeForBrownianSemista
Final published version, 1 MB, PDF-document

DOI

https://doi.org/10.1007/s00780-017-0335-5
Final published version

Original language	English
Journal	Finance and Stochastics
Volume	21
Issue number	4
Pages (from-to)	931-965
Number of pages	35
ISSN	0949-2984
DOIs	10.1007/s00780-017-0335-5
Publication status	Published - Oct 2017

Research areas

Stochastic simulation, Discretization, Brownian semistationary process, Stochastic volatility, Regular variation, Estimation, Option pricing, Rough volatility, Volatility smile, SPOT PRICES, VOLATILITY, TURBULENCE, MODELS

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