Higher-Order Volatility: Dynamics and Sensitivities
نویسندگان
چکیده
منابع مشابه
Higher order variation and stochastic volatility models
Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models. Some key words: Mixed asymptotic normality; Realised volatility; Quadratic variation.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.926313