A generalized hyperbolic model for a risky asset with dependence
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Publication:2231023
DOI10.1016/j.spl.2012.07.006zbMath1471.91566OpenAlexW2013026021MaRDI QIDQ2231023
Publication date: 29 September 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.07.006
Ornstein-Uhlenbeck processlong range dependencegeneralized inverse Gaussiangeneralized hyperbolicsubordinator model
Stationary stochastic processes (60G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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