GENERALIZED HYPERBOLIC DISTRIBUTION AND ITS APPLICATION IN FINANCIAL MATHEMATICS

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POURTAHERI R.; KARIMI KHORAMI M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:3 | Issue:11 Page(s): 119-134

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Information Journal Paper

Title

GENERALIZED HYPERBOLIC DISTRIBUTION AND ITS APPLICATION IN FINANCIAL MATHEMATICS

Author(s)

POURTAHERI R. | KARIMI KHORAMI M. | Issue Writer Certificate

Keywords

GENERALIZED HYPERBOLICQ2

FINANCIAL DERIVATIVESQ2

Abstract

In the seventy decade the Black Scholes model had a critical role in the pricing of FINANCIAL DERIVATIVES. But later, due to its major weakness, other various models were presented. The class of Levy processes is one of the most common models used for pricing financial assets. The one of this processes is GENERALIZED HYPERBOLIC process that is based on the GENERALIZED HYPERBOLIC distribution.First, In this paper we introduce this distribution and then fit data related to the stock price in Iran market. (Iranian asset returns)

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APA: Copy

POURTAHERI, R., & KARIMI KHORAMI, M.. (2012). GENERALIZED HYPERBOLIC DISTRIBUTION AND ITS APPLICATION IN FINANCIAL MATHEMATICS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(11), 119-134. SID. https://sid.ir/paper/197903/en

Vancouver: Copy

POURTAHERI R., KARIMI KHORAMI M.. GENERALIZED HYPERBOLIC DISTRIBUTION AND ITS APPLICATION IN FINANCIAL MATHEMATICS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;3(11):119-134. Available from: https://sid.ir/paper/197903/en

IEEE: Copy

R. POURTAHERI, and M. KARIMI KHORAMI, “GENERALIZED HYPERBOLIC DISTRIBUTION AND ITS APPLICATION IN FINANCIAL MATHEMATICS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 11, pp. 119–134, 2012, [Online]. Available: https://sid.ir/paper/197903/en

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