A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE

DOI10.1142/S0219024910005838zbMath1196.91065OpenAlexW3123952256MaRDI QIDQ3580217

Elisa Luciano, Patrizia Semeraro

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005838

zbMATH Keywords

Lévy processesasset pricing modelgeneralized hyperbolic distributionmultivariate normal mean-variance mixtureunivariate subordination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

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Uses Software

• QRM

Cites Work

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