Browsing by Author "Awasthi, Shantanu"

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The First Exit-Time Analysis of an Approximate Barndorff-Nielsen and Shephard Model, with Data Science-Based Applications in the Commodity Market

Awasthi, Shantanu (North Dakota State University, 2021)

In this dissertation, an approximate version of the Barndorff-Nielsen and Shephard model, driven by a Brownian motion and a Lévy subordinator, is formulated. The first-exit time of the log-return process for this model is ...