Laws and Likelihoods for Ornstein Uhlenbeck-gamma and Other Bns Ou Stochastic Volatilty Models with Extensions

In recent years there have been many proposals as flexible alternatives to Gaussian based continuous time stochastic volatility models. A great deal of these models employ positive Lévy processes. Among these are the attractive non-Gaussian positive Ornstein-Uhlenbeck (OU) processes proposed by Barndorff-Nielsen and Shephard (BNS) in a series of papers. One… CONTINUE READING