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Processes of normal inverse Gaussian type · Study

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ArticleProcesses of normal inverse Gaussian type

Ole Eiler Barndorff-Nielsen1997

OA

Articlegreen1997

Processes of normal inverse Gaussian type

Ole Eiler Barndorff-Nielsen

1,224 citations·0/0 files stored·Finance and Stochastics

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

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2005Stochastic Integration and Differential Equations

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2003Stochastic Volatility for Lévy Processes 2003Time-changed Lévy processes and option pricing 2002Estimating quadratic variation using realized variance 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models 2008The Volatility of Realized Volatility 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures 2003Russian and American put options under exponential phase-type Lévy models 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

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Details

Year1997

Typearticle

Published1997-11-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations1,224

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050032

openalex_workW2148688139

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