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ArticleSimulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution

Emanuele Taufer2008

Article2008

Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution

Emanuele Taufer · Nikolai N. Leonenko

27 citations·0/0 files stored·Computational Statistics & Data Analysis

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Stochastic processes and financial applications Probability and Risk Models Markov Chains and Monte Carlo Methods

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References

2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1990The Variance Gamma (V.G.) Model for Share Market Returns 1997Processes of normal inverse Gaussian type 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling 2003Lévy processes in finance pricing financial derivatives 1997The normal inverse gaussian lévy process: simulation and approximation 2001Series Representations of Lévy Processes from the Perspective of Point Processes 2004Fitting the variance-gamma model to financial data

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Year2008

Typearticle

Published2008-03-24

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.csda.2008.02.026

openalex_workW2138369307

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