Application of Generalized Hyperbolic Lévy Motions to Finance

By Ernst Eberlein. 2001

305 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c76dd94dd2801f24d2a4133985d5252256511a89

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

In Finance

Citations in the corpus

Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000, methodology): “In order to guarantee the existence of the expectations that appear in the term structure model, Eberlein and Raible (1999) impose the following integrability assumption on the Lévy measureF : There are constants M, > 0 such that ∫”
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.”
Wavelet Galerkin pricing of American options on Lévy driven assets (2005, methodology): “…NIG processes and of generalized hyperbolic motions proposed in Barndorff-Nielsen (1977, 1998), Eberlein and Keller (1995), Eberlein et al. (1998) and Eberlein (2001). y In Borici and Lüthi (2002) an algorithm for evaluating the American put option within the classical Black–Scholes framework in…”
Analysis of Fourier Transform Valuation Formulas and Applications (2008, methodology): “The most popular Lévy models are the VG and CGMY processes (cf. Madan and Seneta 1990, Carr et al. 2002), the hyperbolic, NIG and GH processes (cf. Eberlein and Keller 1995, Barndorff-Nielsen 1998, Eberlein 2001), and the Meixner model (cf. Schoutens and Teugels 1998).”
Numerical valuation of options with jumps in the underlying (2005, methodology): “Numerical results showing the quadratic convergenc methods are given for Merton’s model and Kou’s model.”
The Defaultable Lévy Term Structure: Ratings and Restructuring (2003, background): “…structure models driven by Lévy processes, a large and flexible class of processes which contains many standard processes as special cases such as Brownian motion, Poisson processes, as well as the more recent generalized hyperbolic Lévy motions (see Eberlein and Keller 1995 and Eberlein 2001).”
Robust numerical valuation of European and American options under the CGMY process (2007, background): “Recently, Lévy process models have become popular in the financial literature [1, 2, 3, 4, 5, 6, 7].”
An introduction to Lévy processes with applications in finance (2008, background): “Other interesting and inspiring sources are the papers by Eberlein (2001), Cont (2001), Barndorff-Nielsen and Prause (2001), Carr et al. (2002), Eberlein and Özkan(2003) and Eberlein (2007).”
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005, unknown): “Option pricing with exponential Lévy models is discussed in [11, 17, 24].”
The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions (2004, background): “, Kozubowski and Podgórski, 2001; Madan and Milne, 1991); and the generalized hyperbolic (Eberlein, 2001).”
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.”
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution (2008, unknown): “Barndorff-Nielsen & Shephard (2001), Carr & Wu (2004), Eberlein (2001), and Huang & Wu (2004)).”
Estimating quadratic variation using realized variance (2002, background): “…(where τ is a gamma Lévy process), normal inverse Gaussian (where τ is an inverse Gaussian Lévy process) and generalised hyperbolic (where τ is a generalised inverse Gaussian Lévy process) processes discussed by Madan and Seneta (1990), Barndorff-Nielsen (1998) and Eberlein (2001) respectively.”
Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005, methodology): “In this section we discuss issues related to implementing the kernel VaR and its standard error estimation.”