Multiple subordinated modeling of asset returns: Implications for option pricing
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Publication:5861032
DOI10.1080/07474938.2020.1781404zbMath1490.62325OpenAlexW3033826499MaRDI QIDQ5861032
Frank J. Fabozzi, Abootaleb Shirvani, Svetlozar T. Rachev
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1781404
behavioral financeLévy-stable distributiondynamic asset pricing modelsnormal-compound inverse Gaussian distributionvariance-gamma-gamma distribution
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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