Approximation for the normal inverse Gaussian process using random sums

DOI10.1080/07362990903259702MaRDI QIDQ3651647zbMATH OpenOpenAlexFDO

Authors Carlos Gabriel Pacheco

Publication date 11 December 2009

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990903259702

zbMATH Keywords

Normal inverse Gaussian processrandom sums

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50)

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Cites work

• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5035864 (Why is no real title available?)
• Limit theorem for continuous-time random walks with two time scales
• Limit theorems for occupation times of Markov processes
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Probability and random processes.
• Processes of normal inverse Gaussian type
• Stochastic volatility, jumps and hidden time changes
• Stochastic-Process Limits
• The normal inverse gaussian lévy process: simulation and approximation

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(6)

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• The normal inverse gaussian lévy process: simulation and approximation
• Truncated moment-generating functions of the \(NIG\) process and their applications
• Fractional normal inverse Gaussian diffusion
• Analytical pricing of time dependent stop-loss reinsurance and exposure curves under time-changed Brownian motion
• On asymptotic properties and almost sure approximation of the normalized inverse-Gaussian process

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