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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps.
Zhenyu Cui
J. Lars Kirkby
Duy Nguyen
Published in:
Eur. J. Oper. Res. (2017)
Keyphrases
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stochastic models
probabilistic model
higher order
random fields
social networks
support vector
prior knowledge
long term
markov chain
random variables
monte carlo
experimental data
statistical models
stock market
standard deviation
stochastic process