Representative agent pricing of financial assets based on Lévy processes with normal inverse Gaussian marginals

DOI10.1023/A:1021093615674zbMath1031.91041OpenAlexW170840512MaRDI QIDQ1854734

Knut Kristian Aase

Publication date: 27 January 2003

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021093615674

zbMATH Keywords

optionnormal inverse Gaussian distributionfutures contractpartial equillibrium

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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