Search Results - subject:"Hyperbolic diffusion"

Estimation of Hyperbolic Diffusion Using MCMC Method

Tse, Y.K.; Zhang, Xibin; Yu, Jun - Department of Econometrics and Business Statistics, … - 2002

In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the … hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature …

Persistent link: https://www.econbiz.de/10005581113

A note on the existence of unique equivalent martingale measures in a Markovian setting

Rydberg, Tina Hviid - In: Finance and Stochastics 1 (1997) 3, pp. 251-257

Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to...

Persistent link: https://www.econbiz.de/10005390738