Search Results for author: Qingshuo Song

Found 1 papers, 1 papers with code

Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution

1 code implementation2 Oct 2018 Jaehyuk Choi, Yeda Du, Qingshuo Song

Using the quadrature, the generalized hyperbolic distribution is efficiently approximated as a finite normal variance-mean mixture.

Computation Computational Finance Pricing of Securities

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