Results 51 to 60 of about 115,543 (153)

Monte-Carlo simulation results in estimating a pure-jump Cox-Ingersoll-Ross process [PDF]

ESAIM: Proceedings and Surveys
We consider a pure-jump stable Cox-Ingersoll-Ross (α-stable CIR) process driven by a non-symmetric stable Lévy process with jump activity α ∈ (1,2), for which estimators of the drift, scaling and jump activity parameters from high-frequency observations ...
Bayraktar Elise
doaj   +1 more source

L_1-distance for additive processes with time-homogeneous L\'evy measures [PDF]

, 2014
We give an explicit bound for the $L_1$-distance between two additive processes of local characteristics $(f_j(\cdot),\sigma^2(\cdot),\nu_j)$, $j = 1,2$. The cases $\sigma =0$ and $\sigma > 0$ are both treated.
Etore, Pierre, Mariucci, Ester
core   +3 more sources

Revisiting variance gamma pricing : an application to S&P500 index options [PDF]

, 2015
We reformulate the Lévy-Kintchine formula to make it suitable for modelling the stochastic time-changing effects of Lévy processes. Using Variance-Gamma (VG) process as an example, it illustrates the dynamic properties of a Lévy process and revisits the ...
Mozumder, S, Sorwar, G
core   +2 more sources

Fractional diffusion models of option prices in markets with jumps. [PDF]

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro, Castillo Negrete, Diego del   +1 more
core   +3 more sources

Expansion of Lévy Process Functionals and Its Application in Statistical Estimation [PDF]

In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several
Chaohua Dong, Jiti Gao
core  

Robust Superhedging with Jumps and Diffusion [PDF]

, 2015
We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes.
Nutz, Marcel
core   +2 more sources

BSDEs and log-utility maximization for Lévy processes

Modern Stochastics: Theory and Applications, 2019
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth.
Paolo Di Tella, Hans-Jürgen Engelbert
doaj   +1 more source

Equivalent Martingale Measures and Lévy Processes [PDF]

In this paper we compute equivalent martingale measures when the asset price return is modeled by a Lévy process.
José Fajardo
core  

Structural credit risk model driven by Lévy process under knight uncertainty. [PDF]

Ann Oper Res, 2023
Tang Z, Zhong B, Zhou L, Shen C.
europepmc   +1 more source

Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

Journal of Applied Mathematics, 2013
This paper deals with financial modeling to describe the behavior of asset returns, through consideration of economic cycles together with the stylized empirical features of asset returns such as fat tails.
Arthit Intarasit
doaj   +1 more source