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We consider the model for the option price \\(P_t\\) at time \\(t\\)  \\[  \\log P_t = \\log P_0 + \\mu t + \\theta T_t + \\sigma B(T_t)\\;, \\]  where \\(B\\) is a standard Brownian motion independent of \\(\\{T_t\\}\\). In a time unit, the increment of the log-price becomes  \\[  X_t = \\mu + \\theta (T_t - T_{t-1}) + \\sigma [B(T_t) - B(T_{t-1})]\\;. \\]  The latter can be constructed as  \\[  \\mu + \\theta (T_t - T_{t-1}) + \\sigma \\sqrt{T_t - T_{t-1}} \\xi_t\\;, \\]  where \\(\\xi_t\\) are independent standard normally distributed random variables.  By choosing the process \\(\\{T_t\\}\\) appropriately, a given distribution for the increments \\(X_t\\) can be obtained. For example, if the inverse Gaussian distribution \\(\\text{IG}(\\delta, \\gamma)\\) is used for \\(T_t - T_{t-1}\\), then \\(X_t\\) has a normal inverse Gaussian distribution. The process \\(\\{T_t\\}\\) can be constructed as a mean reverting diffusion  \\[  \\text{d} T_t = - \\lambda (T_t-\\mu)\\;\\text{d}t + \\sqrt{v(T_t)}\\;\\text{d} W_t\\;, \\]  for appropriate parameters \\(\\lambda,\\mu\\), function \\(v\\) and a Brownian motion \\(W\\), independent of \\(B\\). A nice property of the inverse Gaussian distribution is that a sum of independent \\(\\text{IG}(\\delta_1, \\gamma)\\) and \\(\\text{IG}(\\delta_2, \\gamma)\\) variables yields an \\(\\text{IG}(\\delta_1+\\delta_2, \\gamma)\\) distributed variable. It is therefore possible to add \\(n\\) independent processes \\(\\{T_t^{(k)}\\}\\) with \\(\\text{IG}(\\delta_k, \\gamma)\\) marginal distributions. Since \\(T_t = \\sum_{k=1}^n T_t^{(k)}\\) has an inverse Gaussian distribution, the increments \\(X_t\\) are normally inverse Gaussian distributed. Through the choice of the processes, different types of dependence can be constructed. For a finite superposition of diffusions, we always have short-range dependence. If an infinite number of diffusions are added, also long-range dependence is possible. Finally, it is shown how options can be priced in the model 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