The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures

By Ernst Eberlein, K. Prause. 2002

306 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bc31b618abe4594e12031cab871eed0d4ed78810

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. Antonis Papapantoleon
4. Michael SØrensen
5. Ernst Eberlein
6. Sergei Levendorskii
7. V. Todorov
8. Bo Martin Bibby

In Finance

1. N. Shephard
2. Ole E. Barndorff-Nielsen
3. Ernst Eberlein
4. Michael SØrensen
5. Sergei Levendorskii
6. Antonis Papapantoleon
7. Bo Martin Bibby
8. V. Todorov

Citations in the corpus

• Sato processes and the valuation of structured products (2009, background): “2002 ) and the GH, the generalized hyperbolic model (Eberlein 2001 , Eberlein and Prause 2002 ).”
• Barrier options and touch- and-out options under regular Lévy processes of exponential type (2002, methodology): “Normal inverse Gaussian processes were introduced by Barndorff-Nielsen (1998) and used to model German stocks by Barndorff-Nielsen and Jiang (1998); in Eberlein and Prause (1998) and Eberlein (1999), generalized hyperbolic processes were constructed, which contained NIG and HP as subclasses.”
• An introduction to Lévy processes with applications in finance (2008, methodology): “Generalized Hyperbolic The generalized hyperbolic model was introduced by [28] following the seminal work on the hyperbolic model by [23].”
• Optimal stopping and perpetual options for Lévy processes (2002, background): “1 Black-Scholes type formula A simple transformation of formulae (4) and (9) in Theorems 1 and 2 respectively allows to present prices of perpetual American options in a way similar in certain extent to the classical Black-Scholes formula for European options (compare (14) and (15) with (16) and (17”
• Pricing Asian options with stochastic volatility (2003, background): “Eberlein and Prause proposed a general hyperbolic model in [4].”
• Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2003, methodology): “This model was introduced in [13], generalized and investigated further in [14] and [15]; see also [12] for various applications.”
• Pricing Asian options in a semimartingale model (2004, background): “Another alternative approach, namely the general hyperbolic model, is discussed in Eberlein and Prause (1998). The problem of pricing Asian options is already complicated when the underlying stock is a geometric Brownian motion. Most of the literature we know studies only this type of model for the ”
• Hyperbolic Processes in Finance (2003, methodology): “The use of generalized hyperbolic L evy processes to model the prices of stocks and other assets and the corresponding theory of option pricing has been thoroughly investigated by Eberlein & Keller (1995), Keller (1997), Eberlein, Keller & Prause (1998) and Eberlein & Prause (2002) .”
• Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000, background): “(See e. g. Eberlein and Prause (1998) for the general case, and Eberlein and Keller (1995), Barndorff-Nielsen (1997) for a study of some special cases of this class.)”
• Apparent scaling (2001, background): “Eberlein and Prause 1998). Developments of the models, that incorporate further stylized features—in particular the volatility clustering and the quasi long range dependence—are considered in Barndorff-Nielsen (1998b), Barndorff-Nielsen and Shephard (1999) (see also Nicolato and Prause 1999).”
• Numerical Computation of First-Passage Times of Increasing Lévy Processes (2009, methodology): “The generalized inverse Gaussian (GIG) Levy process was introduced by Eberlein in Eberlein and Keller (1995), and later applications and generalizations were studied in Eberlein et al. (1998), Eberlein and Prause (2001) and Eberlein (2001).”
• The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003, methodology): “Well-known examples are stochastic volatility models (Hull and White, 1987; Stein and Stein, 1991; Heston and Nandi, 2000), models with jump diffusions (Merton, 1973; Bates, 1996), or models building on general Levy processes, such as the generalized hyperbolic process ( Eberlein and Prause, 2002 ).”
• Risk management based on stochastic volatility (2003, unknown): “Eberlein, E., U. Keller, and K. Prause (1998).”