Generalized Hyperbolic Diffusion Processes with Applications in Finance

DOI10.1111/1467-9965.00067zbMath0980.91039OpenAlexW1983032483MaRDI QIDQ2757300

Tina Hviid Rydberg

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00067

zbMATH Keywords

stationary densityprice processesgeneralized hyperbolic distributionschick-tailed log returnsgeneralized hyperbolic diffusion processesnormal inverse Gaussian diffusion processes

Mathematics Subject Classification ID

Related Items (28)

Exotic options under Lévy models: an overview ⋮ Stationary and self-similar processes driven by Lévy processes ⋮ Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions ⋮ On Asian option pricing for NIG Lévy processes ⋮ Portfolio Value-at-Risk with Heavy-Tailed Risk Factors ⋮ A numerical method for hedging Bermudan options under model uncertainty ⋮ Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Realistic Statistical Modelling of Financial Data ⋮ Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution ⋮ Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method ⋮ On bounds for the mode and median of the generalized hyperbolic and related distributions ⋮ Weighted empirical processes in the nonparametric inference for Lévy processes ⋮ On point measures of \(\varepsilon\)-upcrossings for stationary diffusions. ⋮ A normal inverse Gaussian model for a risky asset with dependence ⋮ On changes of measure in stochastic volatility models ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ Optimal dividend strategies in the diffusion model with stochastic return on investments ⋮ Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density ⋮ Sato Processes in Default Modelling ⋮ Sequential maximum likelihood estimation for the hyperbolic diffusion process ⋮ Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications ⋮ Minimizing CVaR in global dynamic hedging with transaction costs ⋮ Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables ⋮ Transient numerical approximation of hyperbolic diffusions and beyond ⋮ Selected singular-generalized-hyperbolic distributions with applications to order statistics and reliability

This page was built for publication: Generalized Hyperbolic Diffusion Processes with Applications in Finance