A normal inverse Gaussian model for a risky asset with dependence
DOI10.1016/J.SPL.2011.09.007zbMATH Open1236.91135OpenAlexW2006255803MaRDI QIDQ654485FDOQ654485
S. Petherick, Alla Sikorskii, Nikolai N. Leonenko
Publication date: 28 December 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.09.007
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Cites Work
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- Student processes
- The Variance Gamma Process and Option Pricing
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- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Stochastic volatility models as hidden Markov models and statistical applications
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Scaling issues for risky asset modelling
- The Student Subordinator Model with Dependence for Risky Asset Returns
- Integrating Volatility Clustering Into Exponential Lévy Models
- Generalized hyperbolic diffusion processes with applications in finance
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- Stationary-increment Student and variance-gamma processes
- OPTION PRICING WITH VG–LIKE MODELS
- Trading volume in models of financial derivatives
- A risky asset model with strong dependence through fractal activity time
- A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
Cited In (14)
- Title not available (Why is that?)
- A generalized hyperbolic model for a risky asset with dependence
- On the exact distribution of the likelihood ratio test statistic for testing the homogeneity of the scale parameters of several inverse Gaussian distributions
- Feller processes of normal inverse Gaussian type
- Risky Asset Models with Tempered Stable Fractal Activity Time
- Learning-based EM algorithm for normal-inverse Gaussian mixture model with application to extrasolar planets
- Option pricing and stochastic optimization
- Parametrizing the Kepler exoplanet period-radius distribution with the bivariate normal inverse Gaussian distribution
- Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
- Student-like models for risky asset with dependence
- Intermittency of superpositions of Ornstein-Uhlenbeck type processes
- Testing the equality of several inverse Gaussian means under heterogeneity
- Multivariate skew-normal generalized hyperbolic distribution and its properties
- An optimal stopping problem in a diffusion-type model with delay
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