Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
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- Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
More about this item
KeywordsBarndorff-Nielsen and Shephard Model; Symmetry; Bates’s rule; Ornstein–Uhlenbeck process; C52; G10;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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