Processes of normal inverse Gaussian type

• 1 November 1997
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 2  (1) , 41-68
• https://doi.org/10.1007/s007800050032

Abstract

Keywords

• STOCHASTIC VOLATILITY
• LONG RANGE DEPENDENCE
• SELFDECOMPOSABILITY
• BACKGROUND DRIVING LPROCESSES
• ORNSTEIN-UHLENBECK TYPE
• ORNSTEIN UHLENBECK
• STOCHASTIC PROCESS