Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 118, Issue 2, Pages 261-283Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spa.2007.04.006
Keywords
bilateral gamma distributions; parameter estimation; bilateral gamma processes; measure transformations; stock models; option pricing; term structure models
Categories
Ask authors/readers for more resources
We present a class of Levy processes for modelling financial market fluctuations: bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated Levy processes. We treat exponential Levy stock models with an underlying bilateral Gamma process as well as term structure models driven by bilateral Gamma processes, and apply our results to a set of real financial data (DAX 1996-1998). (c) 2007 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available
Share Paper
