Moments of the asset price for the Barndorff-Nielsen and Shephard model Article

Ihsan, Atif, SenGupta, Indranil. (2018). Moments of the asset price for the Barndorff-Nielsen and Shephard model . 58(4), 408-420. 10.1007/s10986-018-9416-1

cited authors

  • Ihsan, Atif; SenGupta, Indranil

sustainable development goals

authors

publication date

  • October 1, 2018

keywords

  • 60G51
  • 91G20
  • 91G70
  • Barndorff-Nielsen and Shephard model
  • Girsanov's theorem
  • Levy process
  • Mathematics
  • Physical Sciences
  • STOCHASTIC VOLATILITY
  • Science & Technology
  • cumulant transform
  • moments

Digital Object Identifier (DOI)

publisher

  • SPRINGER

start page

  • 408

end page

  • 420

volume

  • 58

issue

  • 4