Temat: generalized hyperbolic process - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Generalized hyperbolic processes autocovariance functions
Autorzy:: Troush, N. N.
Kuzmina, A.
Powiązania:: https://bibliotekanauki.pl/articles/92840.pdf
Data publikacji:: 2014
Wydawca:: Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach
Tematy:: generalized hyperbolic process
normal inverse Gaussian process
variance gamma process
autocovariation function
Opis:: Generalized hyperbolic processes are Levy processes which allow an almost perfect fit to financial data. Autocovariance functions of generalized hyperbolic processes such as the normal inverse Gaussian process, the variance gamma process and the hyperbolic process are deduced at this paper.
Źródło:: Studia Informatica : systems and information technology; 2014, 1-2(18); 37-45
1731-2264
Pojawia się w:: Studia Informatica : systems and information technology
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Option pricing by Esscher transforms in the cases of normal inverse Gaussian and variance gamma processes
Autorzy:: Troush, N. N.
Kuzmina, A. V.
Powiązania:: https://bibliotekanauki.pl/articles/92926.pdf
Data publikacji:: 2012
Wydawca:: Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach
Tematy:: Esscher transforms
option pricing
generalized hyperbolic process
normal inverse Gaussian process
variance gamma process
Opis:: The class of Esscher transforms is an important tool for option pricing Gerber and Shiu (1994) showed that the Esscher transform is an efficient technique for valuing derivative securities if the log returns of the underlying securities are governed by certain stochastic processes with stationary and independent increments. Levy processes are the processes of such type. Special cases of the Levy processes such as the normal inverse Gaussian process and the variance gamma process are considered at this paper. Values of these processes parameters for the existence of Esscher transform are deduced. A new algorithm of a normal inverse Gaussian process and variance gamma process simulation is also presented in this paper. These algorithm is universal and simpler one compared with analogous algorithms.
Źródło:: Studia Informatica : systems and information technology; 2012, 1-2(16); 35-43
1731-2264
Pojawia się w:: Studia Informatica : systems and information technology
Dostawca treści:: Biblioteka Nauki

Artykuł

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