A hyperbolic diffusion model for stock prices

DOI10.1007/s007800050015zbMath0883.90010OpenAlexW1979832306MaRDI QIDQ1367943

Bo Martin Bibby, Michael Sørensen

Publication date: 5 October 1997

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050015

zbMATH Keywords

stochastic differential equationsimulationoption pricingvolatilityquasi-likelihoodmartingale estimating function

Mathematics Subject Classification ID

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