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Pricing Derivatives on Two Lé}vy-driven Stocks [PDF]

The aim of this work is to study the pricing problem for derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to the pricing of a
Ernesto Mordecki, José Fajardo
core

Levy Noise Affects Ornstein–Uhlenbeck Memory

Entropy
This paper investigates the memory of the Ornstein–Uhlenbeck process (OUP) via three ratios of the OUP increments: signal-to-noise, noise-to-noise, and tail-to-tail. Intuition suggests the following points: (1) changing the noise that drives the OUP from
Iddo Eliazar
doaj +1 more source

A Multivariate Time-Changed Lévy Model for Financial Applications [PDF]

The purpose of this paper is to define a bivariate L´evy process by subordination of a Brownian motion. In particular we investigate a generalization of the bivariate Variance Gamma process proposed in Luciano and Schoutens [8] as a price process.
Patrizia Semeraro
core

Symmetry and Time Changed Brownian Motions [PDF]

In this paper we examine which Brownian Subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki (2006b). We obtain that when the subordination results in a Lévy process, a necessary and sufficient condition for the ...
Ernesto Mordecki, José Fajardo
core

Asymptotic equivalence of jumps Lévy processes and their discrete counterpart

, 2013
Shorter version focusing on the statistical analysis of the Lévy measure. A new example has been added.We establish the global asymptotic equivalence between a pure jumps Lévy process $\{X_t\}$ on the time interval $[0,T]$ with unknown Lévy measure $\nu$
Etoré, Pierre, Louhichi, Sana, Mariucci, Ester +2 more
core +1 more source

Clustering Performance Analysis Using Chaotic and Lévy Flight-Enhanced Black-Winged Kite Algorithms. [PDF]

Biomimetics (Basel)
Alabed T, Servi S.
europepmc +1 more source

Lévy Diffusion Under Power-Law Stochastic Resetting. [PDF]

Entropy (Basel)
Liu J, Li Y, Marchesoni F.
europepmc +1 more source

Stochastic control of influenza spread: A Lévy-driven SDE and branching process approach. [PDF]

Infect Dis Model
Mohammad KM, Khan T, Kamrujjaman M.
europepmc +1 more source

Optimization of split-ring resonator slots using levy-opposition-enhanced Newton Raphson method for high-gain UWB Vivaldi antenna design. [PDF]