Matches in SemOpenAlex for { <https://semopenalex.org/work/W612475596> ?p ?o ?g. }
Showing items 1 to 53 of
53
with 100 items per page.
- W612475596 abstract "We present a new model where the distribution of innovations is a Normal variance-mean mixture. In the model, the mixing process follows an a¢ ne Garch model with Gamma innovations, then we obtain a recursive procedure for the characteristic function of the logprices and we evaluate a European call by inverse Fourier Transform. The model admits the Garch model with Gamma innovations and the Variance-Gamma model as special cases. 1 Introduction Several empirical studies have documented important departures from the assumption of normality of log-returns. Indeed skewness, kurtosis, serial correlation and time-varying volatilities are observed in nancial time series. For this reason di¤erent models have been investigated in discrete-time and in continuous time. In continuous time, the Levy processes seem to be a natural generalization of the Brownian motion. Indeed the Levy process exihibits right-continuous sample paths with stationary and independent increments. Moreover, the marginal distribution can be easily identi ed by characteristic function (see Schoutens (2003)). However, the Levy processes usually represent an incomplete market and therefore we need to choose an equivalent martingale measure. The standard approach is based on Esscher Transform or the Minimal Entropy Martingale Measure (see Hubalek and Sgarra (2006) for a survey and comparison of these measures). Another way to capture the departure from normality is based on the concept of random time, introduced in nance by Clark (1973). A new process, namely the subordinated process, can be obtained from a primitive stochastic process by using an independent random time change process, referred to as a subordinator (usually an increasing Levy process). The distribution of this process is closely related to a mixture distribution. In particular, if we consider" @default.
- W612475596 created "2016-06-24" @default.
- W612475596 creator A5053410651 @default.
- W612475596 date "2009-09-29" @default.
- W612475596 modified "2023-09-23" @default.
- W612475596 title "A new affine stochastic volatility model with normal variance - mean mixture" @default.
- W612475596 cites W1480459000 @default.
- W612475596 cites W1499969990 @default.
- W612475596 cites W1645200579 @default.
- W612475596 cites W16827625 @default.
- W612475596 cites W1980519218 @default.
- W612475596 cites W1994858552 @default.
- W612475596 cites W2002530172 @default.
- W612475596 cites W2061422507 @default.
- W612475596 cites W2063524840 @default.
- W612475596 cites W2064978316 @default.
- W612475596 cites W2100190417 @default.
- W612475596 cites W2102791351 @default.
- W612475596 cites W2157403008 @default.
- W612475596 cites W2280053103 @default.
- W612475596 cites W3121213441 @default.
- W612475596 cites W3124367289 @default.
- W612475596 hasPublicationYear "2009" @default.
- W612475596 type Work @default.
- W612475596 sameAs 612475596 @default.
- W612475596 citedByCount "0" @default.
- W612475596 crossrefType "journal-article" @default.
- W612475596 hasAuthorship W612475596A5053410651 @default.
- W612475596 hasConcept C105795698 @default.
- W612475596 hasConcept C149782125 @default.
- W612475596 hasConcept C166963901 @default.
- W612475596 hasConcept C28826006 @default.
- W612475596 hasConcept C33923547 @default.
- W612475596 hasConcept C48406656 @default.
- W612475596 hasConcept C85393063 @default.
- W612475596 hasConcept C88757350 @default.
- W612475596 hasConcept C91602232 @default.
- W612475596 hasConceptScore W612475596C105795698 @default.
- W612475596 hasConceptScore W612475596C149782125 @default.
- W612475596 hasConceptScore W612475596C166963901 @default.
- W612475596 hasConceptScore W612475596C28826006 @default.
- W612475596 hasConceptScore W612475596C33923547 @default.
- W612475596 hasConceptScore W612475596C48406656 @default.
- W612475596 hasConceptScore W612475596C85393063 @default.
- W612475596 hasConceptScore W612475596C88757350 @default.
- W612475596 hasConceptScore W612475596C91602232 @default.
- W612475596 hasLocation W6124755961 @default.
- W612475596 hasOpenAccess W612475596 @default.
- W612475596 hasPrimaryLocation W6124755961 @default.
- W612475596 isParatext "false" @default.
- W612475596 isRetracted "false" @default.
- W612475596 magId "612475596" @default.
- W612475596 workType "article" @default.