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Updated: Jun 28, 2025

A Rapid Method for Modeling a Variable Cycle Engine
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A Rapid Method for Modeling a Variable Cycle Engine

Published on: August 13, 2019

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一个由霍克斯过程驱动的玛奥恩斯坦-乌伦贝克模型

Guillaume Bernis1, Riccardo Brignone2, Simone Scotti3

  • 1Natixis Assurances, Paris, France.

Mathematics and financial economics
|April 16, 2024
PubMed
概括

我们引入了一种新的金融模型,将OU Barndorff-Nielsen和Shephard模型扩展到包括使用霍克斯过程的跳跃集群. 这种增强的模型更好地捕捉了市场动态,特别是VIX期权,显示了上升的隐性波动倾斜.

关键词:
指数式亲系过程是指数式亲系过程.霍克斯过程是霍克斯过程.对于VIX期权的隐含波动性跳跃集群中的跳跃集群.杆效应是一种杆效应.随机波动性是指随机波动性的波动性.VIX VIX VIX VIX VIX VIX VIX VIX VIX VIX VIX VIX VIX

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