Pages that link to "Item:Q1381483"
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The following pages link to Processes of normal inverse Gaussian type (Q1381483):
Displaying 50 items.
- Time change equations for Lévy-type processes (Q681994) (← links)
- Stock returns and hyperbolic distributions (Q699418) (← links)
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
- Limit theorems for multifractal products of geometric stationary processes (Q726752) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- An application of the double Edgeworth expansion to a filtering model with Gaussian limit (Q868269) (← links)
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
- Pricing and hedging Asian-style options on energy (Q889623) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- On normal variance-mean mixtures as limit laws for statistics with random sample sizes (Q900765) (← links)
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach (Q904596) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- Fitting bivariate cumulative returns with copulas (Q956837) (← links)
- Small-time moment asymptotics for Lévy processes (Q958971) (← links)
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution (Q961440) (← links)
- Test of fit for a Laplace distribution against heavier tailed alternatives (Q962346) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- On subordinated multivariate Gaussian Lévy processes (Q996741) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes (Q1001850) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
- Particle filtering approximations for a Gaussian-generalized inverse Gaussian model (Q1004258) (← links)
- Subordination, self-similarity, and option pricing (Q1009413) (← links)
- Non-linear properties of conditional returns under scale mixtures (Q1019936) (← links)
- Sequential calibration of options (Q1023619) (← links)
- Optimal portfolios: new variations of an old theme (Q1031945) (← links)
- Auto-static for the people: risk-minimizing hedges of barrier options (Q1037576) (← links)
- Empirical likelihood estimation of discretely sampled processes of OU type (Q1041558) (← links)
- Sensitivity analysis for averaged asset price dynamics with gamma processes (Q1044013) (← links)
- Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors. (Q1423024) (← links)
- Processes of Meixner type (Q1567713) (← links)
- Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
- Non-Gaussian scenarios for the heat equation with singular initial conditions (Q1613656) (← links)
- A Gaussian-generalized inverse Gaussian finite-dimensional filter. (Q1613659) (← links)
- Stationary and self-similar processes driven by Lévy processes (Q1613667) (← links)
- Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
- Option pricing for stochastic volatility model with infinite activity Lévy jumps (Q1619524) (← links)
- American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (Q1658343) (← links)
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach (Q1697245) (← links)
- Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching (Q1699079) (← links)
- Stable Lévy process delayed by tempered stable subordinator (Q1726801) (← links)
- Semi-heavy tails (Q1728122) (← links)
