Multiple subordinated modeling of asset returns: Implications for option pricing

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

zbMATH Keywords

behavioral financeLévy-stable distributiondynamic asset pricing modelsnormal-compound inverse Gaussian distributionvariance-gamma-gamma distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination

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