On the exact distribution of the maximum of the exponential of the generalized normal-inverse Gaussian process with respect to a martingale measure
Copyright policy ) Ivanov, Roman V.;
On the exact distribution of the maximum of the exponential of the generalized normal-inverse Gaussian process with respect to a martingale measure
Summary: We obtain explicit formulas for distributions of extrema of exponentials of time-changed Brownian motions with drift which generalize normal inverse Gaussian processes. The generalization is made by multiplying the normal inverse Gaussian processes by a constant. The results are established with respect to the equivalent martingale measure. As examples of applications, problems of path-dependent option pricing are discussed.
Extreme value theory; extremal stochastic processes, Martingales with continuous parameter, Processes with independent increments; Lévy processes
Extreme value theory; extremal stochastic processes, Martingales with continuous parameter, Processes with independent increments; Lévy processes
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selected citations
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These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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