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Processus Hyperboliques Généralisés (The Generalized Hyperbolic Processes)

https://doi.org/10.2139/ssrn.2943991
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/0470870230openalex-extracted
Lévy Processes in Finance
inferredcites →https://doi.org/10.1007/11376569_1openalex-extracted
Lévy Processes in Euclidean Spaces and Groups
inferredcites →https://doi.org/10.1007/3-211-37841-3openalex-extracted
Kurt Kocherscheidt. Werkverzeichnis. Catalogue Raisonné
inferredcites →https://doi.org/10.1007/978-1-4612-0197-7_14openalex-extracted
Application of Generalized Hyperbolic Lévy Motions to Finance
inferredcites →https://doi.org/10.1007/978-1-4613-8643-8openalex-extracted
Non-Uniform Random Variate Generation
inferredcites →https://doi.org/10.1007/978-3-0348-7943-9_15openalex-extracted
Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes
inferredcites →https://doi.org/10.1023/a:1009703431535openalex-extracted
The Variance Gamma Process and Option Pricing
inferredcites →https://doi.org/10.1080/1350486032000160777openalex-extracted
A note on arbitrage‐free pricing of forward contracts in energy markets
inferredcites →https://doi.org/10.1142/s0219024903002249openalex-extracted
THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
inferredcites →https://doi.org/10.1142/s0219024904002360openalex-extracted
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-extracted
Option valuation using the fast Fourier transform
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