Stationary-increment Student and variance-gamma processes

DOI10.1239/jap/1152413733zbMath1103.62103OpenAlexW2028871991MaRDI QIDQ3410925

Eugene Seneta, Richard Finlay

Publication date: 16 November 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1152413733

zbMATH Keywords

self-similaritysubordinatormartingaleheavy tailslong-range dependenceskewnessvolatilityLaplace distributionefficient markett-distributionvariance-gamma distributionminimum chi-square estimationskew-stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Related Items (23)

LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS ⋮ A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps ⋮ The Student Subordinator Model with Dependence for Risky Asset Returns ⋮ A generalized variance gamma process for financial applications ⋮ Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions ⋮ An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit ⋮ Multifractal scenarios for products of geometric Lévy-based stationary models ⋮ OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing ⋮ Vector Stochastic Processes with Pólya‐Type Correlation Structure ⋮ A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence ⋮ Option pricing under a gamma-modulated diffusion process ⋮ Student-like models for risky asset with dependence ⋮ A normal inverse Gaussian model for a risky asset with dependence ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Isotropic random fields with infinitely divisible marginal distributions ⋮ Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances ⋮ Multifractality of products of geometric Ornstein-Uhlenbeck-type processes ⋮ Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications ⋮ OPTION PRICING WITH VG–LIKE MODELS ⋮ Option pricing in time-changed Lévy models with compound Poisson jumps ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

Uses Software

• longmemo

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