Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151974 | Statistics & Probability Letters | 2012 | 6 Pages |
Abstract
We present a construction of the Generalized Hyperbolic (GH) subordinator model for a risky asset with dependence. The construction of the subordinator (activity time) process is implemented via superpositions of Ornstein–Uhlenbeck type processes driven by Lévy noise. It unifies, on the basis of self-decomposability of the Generalized Inverse Gaussian (GIG) distribution, the construction of the various special cases of the GH subordinator class, such as the Variance Gamma, normal inverse Gaussian, hyperbolic and, especially, tt distributions. An option pricing formula for the proposed model is derived.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Richard Finlay, Eugene Seneta,