A H nzokem

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20202024

most citedBitcoin versus S&P 500 Index: Return and Risk Analysis

13 citations · 56 across the 10 of their papers we have counts for

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Showing 2022Show all

2 papers · 1 filter

q-fin.ST2022★ 1 cited

Fitting Generalized Tempered Stable distribution: Fractional Fourier Transform (FRFT) Approach

A. H. Nzokem, V. T. Montshiwa

The paper investigates the rich class of Generalized Tempered Stable distribution, an alternative to Normal distribution and the $α$ -Stable distribution for modelling asset return…

q-fin.PR2022★ 13 cited

Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Variance-Gamma Process

A. H. Nzokem

The paper builds a Variance-Gamma (VG) model with five parameters: location ( $μ$ ), symmetry ( $δ$ ), volatility ( $σ$ ), shape ( $α$ ), and scale ( $θ$ ); and studies its application to th…