Feller processes of normal inverse Gaussian type

By Ole E. Barndorff-Nielsen, Sergei Levendorskii. 2001

155 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/448d6d298f3525543d8343472ea9613233c14821

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. N. Shephard
2. Ole E. Barndorff-Nielsen
3. V. Todorov
4. Tim Bollerslev
5. Alexey Kuznetsov
6. Sergei Levendorskii
7. Jeannette H. C. Woerner
8. Torben G. Andersen

In Finance

1. Ole E. Barndorff-Nielsen
2. N. Shephard
3. V. Todorov
4. Tim Bollerslev
5. Alexey Kuznetsov
6. Jeannette H. C. Woerner
7. George Tauchen
8. Mark Podolskij

Citations in the corpus

• Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010, background): “´evy measure defined in (38) will converge to theL´evy measure of thegeneralized tempered stable process. Next, when λ1 =λ2, the processes in β-family are similar to the tempered stable processes (see [5]). If we restrict the parameters even further, c1 =c2, λ1 =λ2 and β1 =β2 so that the small positi”
• Error analysis of finite difference and Markov chain approximations for option pricing (2018, background): “These jump processes are known as subordinate diffusions and their applications in finance can be found in, e.g., Barndorff-Nielsen and Levendorskii (2001), Mendoza-Arriaga, Carr, and Linetsky (2010), Li and Linetsky (2014), Li and Mendoza-Arriaga (2013), Li, Li, and Mendoza-Arriaga (2016), and Li,…”
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004, methodology): “The name RLPE was suggested in [5], and in [10]-[12] and the present paper, we use the new name.”
• Normal Modified Stable Processes (2001, methodology): “RLPE Lévy processes The asymptotic relations (5.4) and (5.5) show that the NTS Lévy processes belong to the class of RLPE processes (Regular Lévy Processes of Exponential type), as defined in Barndorff-Nielsen and Levendorskii (2001).”
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007, unknown): “For the use of subordinated processes in financial modelling, without the eigenfunction expansion technique, see, e.g., Barndorff-Nielsen and Levendorskǐi (2001), Carr et al. (2002), Carr and Wu (2004).”