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Subordinated Market Index Models: A Comparison · Study

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ArticleSubordinated Market Index Models: A Comparison

Simon Hurst1997

Article1997

Subordinated Market Index Models: A Comparison

Simon Hurst · Eckhard Platen · Svetlozar T. Rachev

67 citations·0/0 files stored·Asia-Pacific Financial Markets

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 1997The variation of certain speculative prices 1987The Pricing of Options on Assets with Stochastic Volatilities 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1990The Variance Gamma (V.G.) Model for Share Market Returns 1995Hyperbolic Distributions in Finance 1959Brownian Motion in the Stock Market

Cited by

1999Saddlepoint approximations to option prices 2001A Minimal Financial Market Model 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 2004Valuing Bermudan options when asset returns are Lévy processes 2007Simulation of Brownian motion at first-passage times

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Year1997

Typearticle

Published1997-01-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations67

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009650313980

openalex_workW1549477904

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