Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16
underlying asset dynamics are modelled by generalized hyperbolic distribution and normal inverse Gaussian distribution. The … pentanomial lattice is constructed using a moment matching procedure. Moment generating functions of generalized hyperbolic … distribution and normal inverse Gaussian distribution are utilized to compute probabilities and jump parameters under historical …