A flexible generalized hyperbolic option pricing model and its special cases
Claudia Yeap, Simon S. Kwok and S. T. Boris Choy
| Year of publication: |
2018
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|---|---|
| Authors: | Yeap, Claudia ; Kwok, Simon Sai Man ; Choy, S. T. Boris |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 3, p. 425-460
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| Subject: | generalized hyperbolic | Lévy processes | t distribution | time deformation | variance gamma | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987791