Abelian theorems for stochastic volatility models with application to the estimation of jump activity
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DOI: 10.1016/j.spa.2012.08.015
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References listed on IDEAS
- Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
- Denis Belomestny, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers SFB649DP2009-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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Keywords
Affine stochastic volatility model; Abelian theorem; Blumenthal–Getoor index;All these keywords.
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