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Some Analytic Facts on the Generalized Hyperbolic Model

  • Ernst Eberlein
  • Sebastian Raible
Part of the Progress in Mathematics book series (PM, volume 202)

Abstract

We study some properties of a new continuous-time model for financial time series which is driven by a class of Lévy processes instead of a Brownian motion. This model emerged from extensive empirical investigations. We discuss path properties of the driving process and aspects of the valuation of derivatives.

Keywords

Option Price Martingale Measure Variance Gamma Divisible Distribution Equivalent Martingale Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Basel AG 2001

Authors and Affiliations

  • Ernst Eberlein
    • 1
  • Sebastian Raible
    • 1
  1. 1.Institute for Mathematical StochasticsUniversity of FreiburgFreiburgGermany

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