Some Analytic Facts on the Generalized Hyperbolic Model
نویسندگان
چکیده
We study some properties of a new continuous-time model for-nancial time series which is driven by a class of L evy processes instead of a Brownian motion. This model emerged from extensive empirical investigations. We discuss path properties of the driving process and aspects of the valuation of derivatives.
منابع مشابه
Some Analytic Facts on the Generalized Hyperbolic
We study some properties of a new continuous-time model for-nancial time series which is driven by a class of L evy processes instead of a Brownian motion. This model emerged from extensive empirical investigations. We discuss path properties of the driving process and aspects of the valuation of derivatives.
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تاریخ انتشار 2000