Statements (26)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:allows |
calibration to market data
closed-form solutions for some options |
| gptkbp:appliesTo |
equity markets
foreign exchange markets commodity markets |
| gptkbp:basedOn |
gptkb:stochastic_process
|
| gptkbp:capturedBy |
skewness
heavy tails jumps in asset prices |
| gptkbp:feature |
gptkb:stochastic_process
independent increments infinite divisibility stationary increments exponential of a Lévy process |
| gptkbp:generalizes |
gptkb:Black-Scholes_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
exponential Lévy models
|
| gptkbp:includes |
CGMY model
Meixner model Normal Inverse Gaussian model Variance Gamma model |
| gptkbp:proposedBy |
financial mathematicians
|
| gptkbp:usedIn |
option pricing
financial mathematics |
| gptkbp:bfsParent |
gptkb:jump-diffusion_models
|
| gptkbp:bfsLayer |
7
|