Exercise 6.5 Consider a Normal Inverse Gaussian process with parameters , , . Using an Esscher transform,

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Exercise 6.5 Consider a Normal Inverse Gaussian process with parameters α, β, δ. Using an Esscher transform, what is the law of the process under the new measure?

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 06:01 AM

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Exercise 6.5 Consider a Normal Inverse Gaussian process with parameters , , . Using an Esscher transform, what is the law of the process under the new measure?
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Exercise 6.5 Consider a Normal Inverse Gaussian process with parameters , , . Using an Esscher transform,

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Statistical Methods For Financial Engineering

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