Generalized Hyperbolic Diffusion Processes with Applications in Finance
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Publication:2757300
DOI10.1111/1467-9965.00067zbMath0980.91039OpenAlexW1983032483MaRDI QIDQ2757300
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
stationary densityprice processesgeneralized hyperbolic distributionschick-tailed log returnsgeneralized hyperbolic diffusion processesnormal inverse Gaussian diffusion processes
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