Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation

By Weilin Xiao, Wei-guo Zhang, Weidong Xu. 2011

98 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/000390f4fd8bab213eaf03e731ceb6e90327c53c

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Citations in the corpus

• Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment (2014, methodology): “Further, in [38], it was stated that if one uses the Wick-Ito-Skorohod integral, then can obtain an arbitrage-free model.”