The results in Genon-Catalot et. al (2000) for some stochastic volatility models are generalized to take into account the possible corrrelation between stock price and its instananeous variance as well as a non-zero drift in the stock price driving equation.
Limit results for discretely observed stochastic volatility models with leverage effect
FIGA' TALAMANCA, GIANNA
2008
Abstract
The results in Genon-Catalot et. al (2000) for some stochastic volatility models are generalized to take into account the possible corrrelation between stock price and its instananeous variance as well as a non-zero drift in the stock price driving equation.File in questo prodotto:
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