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Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators [PDF]

The traditional multivariate Lévy process constructed by subordinating a Brownian motion through a univariate subordinator presents a number of drawbacks, including the lack of independence and a limited range of dependence.
Elisa Luciano, Patrizia Semeraro
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IntLevPy: A Python library to classify and model intermittent and Lévy processes

SoftwareX
IntLevPy provides a comprehensive description of the IntLevPy Package, a Python library designed for simulating and analyzing intermittent and Lévy processes. The package includes functionalities such as full parameter estimation and fitting optimization
Shailendra Bhandari, Pedro Lencastre, Sergey Denisov, Yurii S. Bystryk, Pedro G. Lind   +4 more
doaj   +1 more source

Duality and Derivative Pricing with Lévy Processes [PDF]

The aim of this work is to use a duality approach to study the pricing of 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
Ernesto Mordecki, José Fajardo
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Skewness Premium with Lévy Processes [PDF]

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain sufficient and necessary conditions for Bate's x% rule to hold.
Ernesto Mordecki, José Fajardo
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Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes [PDF]

For a Lévy process X having finite variation on compact sets and finite first moments, µ( dx) = xv( dx) is a finite signed measure which completely describes the jump dynamics.
Johanna Kappus
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Hyperfinite stochastic integration for Lévy processes with finite-variation jump part [PDF]

This article links the hyperfinite theory of stochastic integration with respect to certain hyperfinite Lévy processes with the elementary theory of pathwise stochastic integration with respect to pure-jump Lévy processes with finite-variation jump part.
Frederik Herzberg
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Low-frequency estimation of continuous-time moving average Lévy processes [PDF]

, 2016
In this paper we study the problem of statistical inference for a continuoustime moving average Lévy process of the form Zt=∫ℝκ(t-s)dLs, t∈ℝ with a deterministic kernel κ and a Lévy process L. Especially the estimation of the Lévy measure v of L from
Belomestny, Denis, Panov, Vladimir, Woerner, Jeannette H. C.   +2 more
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Cliquet option pricing with Meixner processes

Modern Stochastics: Theory and Applications, 2018
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner–Lévy process yielding Meixner distributed log-returns ...
Markus Hess
doaj   +1 more source

A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes [PDF]

, 2007
In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the
Massabò, I., Ortobelli, S, STAINO, Alessandro   +2 more
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OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA [PDF]

A new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lèvy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas ...
Rossella Agliardi
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