121 citations · 323 across the 8 of their papers we have counts for
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stat.CO2018★ 3 cited
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
Jaehyuk Choi, Yeda Du, Qingshuo Song
In this study, a numerical quadrature for the generalized inverse Gaussian distribution is derived from the Gauss-Hermite quadrature by exploiting its relationship with the normal…
q-fin.MF2018★ 17 cited
Hyperbolic normal stochastic volatility model
Jaehyuk Choi, Chenru Liu, Byoung Ki Seo
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter…