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The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures · Study

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ChapterThe Generalized Hyperbolic Model: Financial Derivatives and Risk Measures

Ernst Eberlein2002

Chapter2002

The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures

Ernst Eberlein · Karsten Prause

280 citations·0/0 files stored·Springer finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1999Coherent Measures of Risk 1953Die Betriebswirtschaft 1997Empirical Performance of Alternative Option Pricing Models 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1997Processes of normal inverse Gaussian type

Cited by

2001Application of Generalized Hyperbolic Lévy Motions to Finance 2002Optimal stopping and perpetual options for Lévy processes 2003Hyperbolic Processes in Finance 2002Barrier options and touch-and-out options under regular Lévy processes of exponential type 2004Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes 2003Financial Risk and Heavy Tails

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1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measuresthesis · 9 shared references 2005Wavelet Galerkin pricing of American options on Lévy driven assetsarticle · 7 shared references 2003THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITYarticle · 7 shared references 2003Time-changed Lévy processes and option pricingarticle · 6 shared references 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Factsthesis · 6 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 6 shared references

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Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations280

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-12429-1_12

openalex_workW1486748438

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2001

Normal Modified Stable Processes

2003The Dynamics of Implied Volatilities: A Common Principal Components Approach