Feller processes of normal inverse Gaussian type

DOI10.1088/1469-7688/1/3/303MaRDI QIDQ4646489zbMATH OpenOpenAlexWikidataFDO

Authors Ole E. Barndorff-Nielsen, Sergei Levendorskiĭ

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/1/3/303

zbMATH Keywords

pseudo-differential operatorsBlack-Scholes equationFeller processesnormal inverse Gaussian Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Pseudodifferential operators (47G30)

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Cited in

(33)

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• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
• Applications of artificial neural networks to simulating Lévy processes
• Degradation in Common Dynamic Environments
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• A Multivariate Stochastic Degradation Model for Dependent Performance Characteristics
• Early exercise boundary and option prices in Lévy driven models
• Option pricing under some Lévy-like stochastic processes
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• Portfolio optimization with relative tail risk
• Fractional normal inverse Gaussian diffusion
• The fractional multivariate normal tempered stable process
• Elliptical tempered stable distribution
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
• Factor copula model for portfolio credit risk
• Foster-Hart optimization for currency portfolios

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