Feller processes of normal inverse Gaussian type

DOI10.1088/1469-7688/1/3/303zbMath1405.91582OpenAlexW2126799636WikidataQ115169500 ScholiaQ115169500MaRDI QIDQ4646489

Ole Eiler Barndorff-Nielsen, Sergei Levendorskii

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/1/3/303

zbMATH Keywords

Feller processesBlack-Scholes equationpseudo-differential operatorsnormal inverse Gaussian Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Pseudodifferential operators (47G30)

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