A hyperbolic diffusion model for stock prices
From MaRDI portal
Publication:1367943
DOI10.1007/s007800050015zbMath0883.90010MaRDI QIDQ1367943
Michael Sørensen, Bo Martin Bibby
Publication date: 5 October 1997
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050015
stochastic differential equation; simulation; option pricing; volatility; quasi-likelihood; martingale estimating function
91B62: Economic growth models
Related Items
Inference for Observations of Integrated Diffusion Processes, Realistic Statistical Modelling of Financial Data, Country risk and the estimation of asset return distributions, Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes, Student processes, Method for simulating non-linear stochastic differential equations in ℝ1, Testing Symmetry of a NIG Distribution, Stock returns and hyperbolic distributions, Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview, On changes of measure in stochastic volatility models, On Rényi information for ergodic diffusion processes, On point measures of \(\varepsilon\)-upcrossings for stationary diffusions., Efficient estimators for functionals of Markov chains with parametric marginals., Financial options and statistical prediction intervals, Diffusion-type models with given marginal distribution and autocorrelation function, A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
