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NIG 1 fitting price process 1 goodness of fits test 1
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Teneng, Dean 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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NIG-Levy process in asset price modeling: case of Estonian companies
Teneng, Dean - Volkswirtschaftliche Fakultät, … - 2013
As an asset is traded at fair value, its varying price trace an interesting trajectory reflecting in a general way the asset’s value and underlying economic activities. These trajectory exhibit jumps, clustering and a host of other properties not usually captured by Gaussian based models. Levy...
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