Brownian–Laplace Motion and Its Use in Financial Modelling

DOI10.1080/03610920601001766zbMath1120.60054OpenAlexW2049159932MaRDI QIDQ3435996

William J. Reed

Publication date: 8 May 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601001766

zbMATH Keywords

Lévy processoption valueBlack-Scholes pricinggeneralized normal Laplace distributionLaplace motion

Mathematics Subject Classification ID

Related Items (10)

A general approach for obtaining wrapped circular distributions via mixtures ⋮ Inference for the Generalized Normal Laplace Distribution ⋮ Two nested families of skew-symmetric circular distributions ⋮ Variance gamma (nonlocal) equations ⋮ Testing for the generalized normal-Laplace distribution with applications ⋮ Generalized normal-Laplace AR process ⋮ A flexible parametric survival model which allows a bathtub-shaped hazard rate function ⋮ Inference procedures for the variance gamma model and applications ⋮ A note on an integer valued time series model with Poisson–negative binomial marginal distribution ⋮ A product autoregressive model with log-Laplace marginal distribution

Cites Work

• The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
• Realistic Statistical Modelling of Financial Data

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