A Generalized Hyperbolic model for a risky asset with dependence
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References listed on IDEAS
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- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
More about this item
KeywordsGeneralized Hyperbolic; Generalized Inverse Gaussian; Ornstein–Uhlenbeck process; Subordinator model; Long range dependence;
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