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Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

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Date

2006

Authors

Kluppelberg, Claudia
Lindner, Alexander
Maller, Ross

Journal Title

Journal ISSN

Volume Title

Publisher

Springer

Abstract

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/30441

Collections

ANU Research Publications

Source

Type

Book chapter

Book Title

From stochastic calculus to mathematical finance

Entity type

Access Statement

License Rights

DOI

Restricted until

2037-12-31

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Description
01_Kluppelberg_Continuous_time_volatility_2006.pdf (13.96 MB)

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