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Simulation of Lvy-driven Ornstein-Uhlenbeck processes with given marginal distribution

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  • Taufer, Emanuele
  • Leonenko, Nikolai

Abstract

A simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution is provided. The method proposed, based on inversion of the characteristic function, completely circumvents the problems encountered when trying to reproduce small jumps of Lvy processes. Error bounds for the proposed procedure are provided and its performance is numerically assessed.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4RYV27S-1/2/8ff90455d1f13e7ab4839a66a3eca2c8
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Pages: 2427-2437

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Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2427-2437

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Web page: http://www.elsevier.com/locate/csda

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  1. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
  2. Ole E. Barndorff-Nielsen, 2003. "Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 30(2), pages 277-295.
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Cited by:
  1. Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.
  2. Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers 0907, Department of Computer and Management Sciences, University of Trento, Italy, revised 02 Dec 2009.

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