The Ornstein–Uhlenbeck Process and Variance Gamma Process: Parameter Estimation and Simulations

A.H. Nzokem; V.T. Montshiwa

The Ornstein–Uhlenbeck Process and Variance Gamma Process: Parameter Estimation and Simulations

Authors

A.H. Nzokem
V.T. Montshiwa

Keywords:

Ornstein-Uhlenbeck (OU) Process, Stochastic Volatility (SV) Model, Variance Gamma (VG)Model

Abstract

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Published

2023-09-29

How to Cite

Nzokem, A., & Montshiwa, V. (2023). The Ornstein–Uhlenbeck Process and Variance Gamma Process: Parameter Estimation and Simulations. Thai Journal of Mathematics, 160–168. Retrieved from https://thaijmath2.in.cmu.ac.th/index.php/thaijmath/article/view/1477