Publication:
The Ornstein-Uhlenbeck processes driven by Lévy process and application to finance

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dc.contributor.authorsÖnalan Ö.
dc.date.accessioned2022-03-15T01:57:53Z
dc.date.accessioned2026-01-11T19:14:33Z
dc.date.available2022-03-15T01:57:53Z
dc.date.issued2010
dc.description.abstractIn this study we deal with aspects of the modeling of the asset prices by means Ornstein-Uhlenbech process driven by Lévy process. Barndorff-Nielsen and Shephard stochastic volatility model allows the volatility parameter to be a self-decomposable distribution. BNS models allow flexible modeling. For this reason we use as a model the IG-Ornstein-Uhlenbeck process. We calibrate moments of Lévy process and OU process. Finally we fit the model some real data series. We present a simulation study. © 2010 Springer Science+Business Media B.V.
dc.identifier.doi10.1007/978-90-481-8776-8_38
dc.identifier.isbn9789048187751
dc.identifier.issn18761100
dc.identifier.urihttps://hdl.handle.net/11424/247015
dc.language.isoeng
dc.relation.ispartofLecture Notes in Electrical Engineering
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectBarndorff-Nielsen and Shephard model
dc.subjectfinancial market
dc.subjectIG-Ornstein-Uhlenbeck process
dc.subjectLévy processes
dc.titleThe Ornstein-Uhlenbeck processes driven by Lévy process and application to finance
dc.typeconferenceObject
dspace.entity.typePublication
oaire.citation.endPage453
oaire.citation.startPage443
oaire.citation.titleLecture Notes in Electrical Engineering
oaire.citation.volume60 LNEE

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