Financial Modelling with Ornstein-Uhlenbeck Processes Driven by Levy Process


Onalan O.

World Congress on Engineering, London, Kanada, 1 - 03 Temmuz 2009, ss.1350-1355 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Basıldığı Şehir: London
  • Basıldığı Ülke: Kanada
  • Sayfa Sayıları: ss.1350-1355

Özet

In this study we deal with aspects of the modeling of the asset prices by means Ornstein-Uhlenbech process driven by Levy process. Barndorff-Nielsen and Shephard stochastic volatility model allows the volatility parameter to be a self-decomposable distribution. BNS models allow flexible modeling. For this reason we use as a model IG-Ornstein-Uhlenbeck process. We calibrate moments of Levy process and OU process. Finally we fit the model some real data series. We present a simulation study.