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A normal inverse Gaussian model for a risky asset with dependence
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References

  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications230 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2005Diffusion-type models with given marginal distribution and autocorrelation function129 cited
  • 1998Some stationary processes in discrete and continuous time114 cited
  • 2005Student processes107 cited
  • 1999A risky asset model with strong dependence through fractal activity time85 cited
  • 1999Generalized Hyperbolic Diffusion Processes with Applications in Finance75 cited
  • 2005Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes75 cited
  • 2006Stationary-increment Student and variance-gamma processes49 cited
  • 2004The past and future of empirical finance: some personal comments29 cited

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  • 2008OPTION PRICING WITH VG–LIKE MODELS29 cited
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