First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process Preprint

Awasthi, Shantanu, SenGupta, Indranil. (2020). First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process .

cited authors

  • Awasthi, Shantanu; SenGupta, Indranil

authors

publication date

  • June 12, 2020

webpage

keywords

  • 60G40, 60G51
  • math.PR
  • math.ST
  • q-fin.MF
  • stat.TH