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Processes of normal inverse Gaussian type 总被引:3,自引:0,他引:3
Ole E. Barndorff-Nielsen 《Finance and Stochastics》1997,2(1):41-68
With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic
processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein-Uhlenbeck
type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are considered
in particular, and some discussion is given of the feasibility of making likelihood inference for these models. 相似文献
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Hedging American contingent claims with constrained portfolios 总被引:5,自引:0,他引:5