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A hyperbolic diffusion model for stock prices · Study

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ArticleA hyperbolic diffusion model for stock prices

Bo Martin Bibby1996

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Articlebronze1996

A hyperbolic diffusion model for stock prices

Bo Martin Bibby · Michael Sørensen

117 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2016Numerical solution of stochastic differential equations 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1981Martingales and stochastic integrals in the theory of continuous trading 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes 1981Martingales and Stochastic Integrals in the Theory of Continous Trading

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2000Realistic Statistical Modelling of Financial Data 2005Student processes 2010Estimating Functions for Discretely Sampled Diffusion-Type Models 2005Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 2004Inference for Observations of Integrated Diffusion Processes 2003Fractional differential equations driven by Lévy noise 1997Estimating Functions for Discretely Observed Diffusions: A Review 2002Dynamic models of long-memory processes driven by Lévy noise

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Details

Year1996

Typearticle

Published1996-12-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations117

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050015

openalex_workW1979832306

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