Normal Modified Stable Processes.
<p>This paper discusses two classes of distributions, and stochastic processes derived from them: modified stable (<em>MS</em>) laws and normal modified stable (<em>NMS</em>) laws. This extends corresponding results for the genera...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
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Department of Economics (University of Oxford)
2001
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| Subjects: |
| _version_ | 1797096493517111296 |
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| author | Shephard, N Barndorff-Nielsen, O |
| author_facet | Shephard, N Barndorff-Nielsen, O |
| author_sort | Shephard, N |
| collection | OXFORD |
| description | <p>This paper discusses two classes of distributions, and stochastic processes derived from them: modified stable (<em>MS</em>) laws and normal modified stable (<em>NMS</em>) laws. This extends corresponding results for the generalised inverse Gaussian (<em>GIG</em>) and generalised hyperbolic (<em>GH</em>) or normal generalised inverse Gaussian (<em>NGIG</em>) laws. The wider framework thus established provides, in particular, for added flexibility in the modelling of the dynamics of financial time series, of importance especially as regards OU based stochastic volatility models for equities. In the special case of the tempered stable OU process an exact option pricing formula can be found, extending previous results based on the inverse Gaussian and gamma distributions.</p> |
| first_indexed | 2024-03-07T04:42:38Z |
| format | Working paper |
| id | oxford-uuid:d22c00b1-7854-4385-9b25-be31b5cc3790 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:42:38Z |
| publishDate | 2001 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:d22c00b1-7854-4385-9b25-be31b5cc37902022-03-27T08:02:01ZNormal Modified Stable Processes.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:d22c00b1-7854-4385-9b25-be31b5cc3790EconomicsEnglishOxford University Research Archive - ValetDepartment of Economics (University of Oxford)2001Shephard, NBarndorff-Nielsen, O<p>This paper discusses two classes of distributions, and stochastic processes derived from them: modified stable (<em>MS</em>) laws and normal modified stable (<em>NMS</em>) laws. This extends corresponding results for the generalised inverse Gaussian (<em>GIG</em>) and generalised hyperbolic (<em>GH</em>) or normal generalised inverse Gaussian (<em>NGIG</em>) laws. The wider framework thus established provides, in particular, for added flexibility in the modelling of the dynamics of financial time series, of importance especially as regards OU based stochastic volatility models for equities. In the special case of the tempered stable OU process an exact option pricing formula can be found, extending previous results based on the inverse Gaussian and gamma distributions.</p> |
| spellingShingle | Economics Shephard, N Barndorff-Nielsen, O Normal Modified Stable Processes. |
| title | Normal Modified Stable Processes. |
| title_full | Normal Modified Stable Processes. |
| title_fullStr | Normal Modified Stable Processes. |
| title_full_unstemmed | Normal Modified Stable Processes. |
| title_short | Normal Modified Stable Processes. |
| title_sort | normal modified stable processes |
| topic | Economics |
| work_keys_str_mv | AT shephardn normalmodifiedstableprocesses AT barndorffnielseno normalmodifiedstableprocesses |