Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models

Claudia Klüppelberg (), Alexander Lindner () and Ross Maller ()
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Claudia Klüppelberg: Munich University of Technology, Center for Mathematical Sciences
Alexander Lindner: Munich University of Technology, Center for Mathematical Sciences
Ross Maller: Australian National University, Centre for Mathematical Analysis, School of Finance & Applied Statistics

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 393-419 from Springer

Keywords: Stochastic Volatility; Price Process; Quadratic Variation; GARCH Model; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/978-3-540-30788-4_21

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