摘要
研究了对跳跃-扩散模型,利用二次幂变差构建核权平滑波动率的估计问题,并证明了波动率的强相合性,其证明方法的核心是矩不等式。
The estimation problem of using the quadratic power variation to construct the kernel-weighted smoothed volatility under the jump-diffusion model is studied,and the strong consistency of volatility is proved.The core of the proof method is the moment inequality.
作者
许学艳
XU Xueyan(School of Mathematics and Statistics,Guangxi Normal University,Guilin 541004,China)
出处
《广西民族大学学报（自然科学版）》
CAS
2022年第4期87-90,共4页
Journal of Guangxi Minzu University ：Natural Science Edition
关键词
二次幂变差
波动率
强相合性
矩不等式
Quadratic variation
Volatility
Strong consistency
Moment inequality
