Search Results - subject:"Normal-inverse gaussian model"

A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns

Göncü, Ahmet; Karahan, Mehmet Oğuz; Kuzubaş, Tolga Umut - In: The North American journal of economics and finance : a … 36 (2016), pp. 69-83

Persistent link: https://www.econbiz.de/10011672611

Examination of Portfolio Currency Risk Estimation by Means of Lévy Models

Tichý, Tomáš - In: Politická ekonomie 2010 (2010) 4, pp. 504-521

Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of...

Persistent link: https://www.econbiz.de/10008564635

Examination of selected improvement approaches to Monte Carlo simulation in option pricing

Tichý, Tomáš - In: Politická ekonomie 2008 (2008) 6, pp. 772-794

inverse Gaussian model. We also verify the confidence interval for the option price. We did not find any improvements of … vanilla call. We consider three distinct underlying processes: geometric Brownian motion, variance gamma model and normal …

Persistent link: https://www.econbiz.de/10008754960