Feller processes of normal inverse Gaussian type

Ole Barndorff-Nielsen and S.Z. Levendorskii

Quantitative Finance, 2001, vol. 1, issue 3, 318-331

Abstract: We consider the construction of normal inverse Gaussian (NIG) (and some related) L�vy processes from the probabilistic viewpoint and from that of the theory of pseudo-differential operators; we then introduce and analyse natural generalizations of these constructions. The resulting Feller processes are somewhat similar to the NIG L�vy process but may, for instance, possess mean-reverting features. Possible applications to financial mathematics are discussed, and approximations to solutions of corresponding generalizations of the Black-Scholes equation are derived.

Date: 2001
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DOI: 10.1088/1469-7688/1/3/303

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