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ArticleA normal inverse Gaussian model for a risky asset with dependence

Nikolai N. Leonenko2011

Article2011

A normal inverse Gaussian model for a risky asset with dependence

Nikolai N. Leonenko · S. Petherick · Alla E Sikorskii

19 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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References

2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1998The Variance Gamma Process and Option Pricing 1997Processes of normal inverse Gaussian type 2003Handbook of Heavy Tailed Distributions in Finance 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications 2003Hyperbolic Processes in Finance 2005Diffusion-type models with given marginal distribution and autocorrelation function

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Year2011

Typearticle

Published2011-09-22

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2011.09.007

openalex_workW2006255803

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