A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE

DOI10.1142/S0219024910005838zbMath1196.91065MaRDI QIDQ3580217

Elisa Luciano, Patrizia Semeraro

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Lévy processes; asset pricing model; generalized hyperbolic distribution; multivariate normal mean-variance mixture; univariate subordination

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G80: Financial applications of other theories

Related Items

Multivariate time changes for Lévy asset models: characterization and calibration, A generalized variance gamma process for financial applications, A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE

Uses Software

• QRM

Cites Work

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