Esscher Transforms
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1. Modelando descontinuidades em finanças usando distribuições hiperbólicas generalizadas
In this thesis we use generalized hyperbolic distributions, that are laws of Levy processes with jumps, to model Brazilian assets and price derivatives. Then we present the Multivariate Affine Generalized Hyperbolic distributions and also use it to model Brazilian assets and price derivatives. We use data from stocks traded at Bolsa de Valores de São Paulo,
Publicado em: 2006