Search Results - subject:"Normal Inverse Gaussian"

Explicit option valuation in the exponential NIG model

Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299

Persistent link: https://www.econbiz.de/10012608646

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi J. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

underlying asset dynamics are modelled by generalized hyperbolic distribution and normal inverse Gaussian distribution. The … distribution and normal inverse Gaussian distribution are utilized to compute probabilities and jump parameters under historical …

Persistent link: https://www.econbiz.de/10011988781

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011883226

A conditional heteroscedastic VaR approach with alternative distributions

Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98

Persistent link: https://www.econbiz.de/10012617079

Quantification of VaR: A Note on VaR Valuation in the South African Equity Market

Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 103-126

-distribution. We then estimate Value-at-Risk under the assumption that financial returns follow the Normal Inverse Gaussian, Normal … Inverse Gaussian and is compared to the financial returns modelled using the Normal, Skew t-distribution and Student t …/JSE TOP40 index and the S & P 500 index. The statistical distribution of the financial returns is modelled using the Normal …

Persistent link: https://www.econbiz.de/10011167305

Beyond the local mean-variance analysis in continuous time: The problem of non-normality

Aase, Knut K.; Lillestøl, Jostein - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015

The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...

Persistent link: https://www.econbiz.de/10011185411

Quantification of VaR: A note on VaR valuation in the South African equity market

Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 103-126

Persistent link: https://www.econbiz.de/10011843254

Quantification of VaR : a note on VaR valuation in the South African equity market

Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 103-126

Persistent link: https://www.econbiz.de/10011552897

Which is the right option for Indian market : Gaussian, normal inverse Gaussian, or Tsallis?

Chakrabarti, Prasenjit; Guhathakurata, Kousik - In: IIMB management review 31 (2019) 3, pp. 238-249

Persistent link: https://www.econbiz.de/10012131769

Multivariate marked poisson processes and market related multidimensional information flows

Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10012013851