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Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion
| Content Provider | Semantic Scholar |
|---|---|
| Author | Azmoodeh, Ehsan Valkeila, Esko |
| Copyright Year | 2010 |
| Abstract | Abstract Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy. |
| Starting Page | 97 |
| Ending Page | 112 |
| Page Count | 16 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/s11203-013-9079-9 |
| Volume Number | 16 |
| Alternate Webpage(s) | https://arxiv.org/pdf/1005.4349v2.pdf |
| Alternate Webpage(s) | https://doi.org/10.1007/s11203-013-9079-9 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
