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The Ornstein–Uhlenbeck Processes Driven by Lévy Process and Application to Finance

  • Ömer ÖnalanEmail author
Chapter
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 60)

Abstract

In this study we deal with aspects of the modeling of the asset prices by means Ornstein-Uhlenbech process driven by Lévy 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 the IG-Ornstein-Uhlenbeck process. We calibrate moments of Lévy process and OU process. Finally we fit the model some real data series. We present a simulation study.

Keywords

Barndorff-Nielsen and Shephard model financial market IG-Ornstein-Uhlenbeck process Lévy processes 

References

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Copyright information

© Springer Science+Business Media B.V. 2010

Authors and Affiliations

  1. 1.Faculty of Business Administration and EconomicsMarmara UniversityIstanbulTurkey

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