The Processes Compatible with the Stylized Facts

Gilles Zumbach
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Gilles Zumbach: Consulting in Financial Research

Chapter Chapter 19 in Discrete Time Series, Processes, and Applications in Finance, 2013, pp 295-298 from Springer

Abstract: Abstract This chapter gives a summary of the main results scattered in the book and of the main techniques used to obtain them, together with a critical comparison with the more traditional results and techniques available in the literature. Among them are relative versus logarithmic returns, normal versus student innovations, ARCH versus stochastic volatility processes, discrete versus continuous processes, numerical versus analytical results, statistical tests, etc.

Keywords: Option Price; Continuum Limit; Stylize Fact; Stochastic Volatility; Stochastic Calculus (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31742-2_19

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DOI: 10.1007/978-3-642-31742-2_19

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