Option Pricing in Multivariate Stochastic Volatility Models of OU Type
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Cited by:
- Robert Stelzer & Jovana Zaviv{s}in, 2014. "Derivative pricing under the possibility of long memory in the supOU stochastic volatility model," Papers 1404.1773, arXiv.org.
- Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
- Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
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