Analytical formulas for option prices under time-changed CARMA process.

Autor: Tong, Zhigang

Publikováno v: International Journal of Financial Engineering; Sep2023, Vol. 10 Issue 3, p1-24, 24p

Recovering the background noise of a Lévy-driven CARMA process using an SDDE approach

Autor: Nielsen, Mikkel Slot, Rohde, Victor Ulrich

Publikováno v: Nielsen, M S & Rohde, V U 2017, ' Recovering the background noise of a Lévy-driven CARMA process using an SDDE approach ', Proceedings ITISE 2017, 18-20 September, 2017, vol. 2, pp. 707-718 .

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=pure_au_____::5d01aa9cc6dc006f0428b517a9667309
https://pure.au.dk/portal/da/publications/recovering-the-background-noise-of-a-levydriven-carma-process-using-an-sdde-approach(8645b242-c933-47ea-95ac-3fd5d5236c9a).html

Whittle estimation for continuous-time stationary state space models with finite second moments.

Autor: Fasen-Hartmann, Vicky¹ (AUTHOR), Mayer, Celeste¹ (AUTHOR) celeste.mayer@kit.edu

Publikováno v: Annals of the Institute of Statistical Mathematics. Apr2022, Vol. 74 Issue 2, p233-270. 38p.

LIMIT BEHAVIOUR OF THE TRUNCATED PATHWISE FOURIER-TRANSFORMATION OF LÉVY-DRIVEN CARMA PROCESSES FOR NON-EQUIDISTANT DISCRETE TIME OBSERVATIONS

Autor: Fechner, Żywilla, Stelzer, Robert

Publikováno v: Statistica Sinica, 2018 Jul 01. 28(3), 1633-1650.

Externí odkaz: https://www.jstor.org/stable/26492961

Continuous time autoregressive moving average processes with random Lévy coefficients.

Autor: Brandes, Dirk-Philip¹ dirk.brandes@uni-ulm.de

Publikováno v: ALEA. Latin American Journal of Probability & Mathematical Statistics. 2017, Vol. 14, p219-244. 26p.