Results 61 to 70 of about 80,904 (151)
From Local Volatility to Local Levy Models. [PDF]
We define the class of local Lévy processes. These are Lévy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer
Carr, Peter +3 more
core
Distributed-order (q,τ)-deformed Lévy processes and their spectral properties
Frontiers in PhysicsLévy processes play a central role in stochastic modeling, providing a unifying framework for jump dynamics, anomalous diffusion, and heavy-tailed phenomena across physics and applied sciences.
Ibtisam Aldawish, Rabha W. Ibrahim
doaj +1 more source
Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
Risks, 2019 We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital.
Mauricio Junca +2 more
doaj +1 more source
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
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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 +1 more
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Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance. [PDF]
We show how to calculate European-style option prices when the log-stock price process follows a Lévy-Stable process with index parameter 1≤α≤2 and skewness parameter -1≤β≤1.
Cartea, Álvaro, Howison, Sam
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Potential Densities for Taxed Spectrally Negative Lévy Risk Processes
Risks, 2019 This paper revisits the spectrally negative Lévy risk process embedded with the general tax structure introduced in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0.
Wenyuan Wang, Xiaowen Zhou
doaj +1 more source
A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns [PDF]
In the paper we present a proposal of augmenting portfolio analysis for the infinitely divisible distributions of returns - so that the prices of assets can follow Lévy processes.
Kliber, Pawel
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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
Exponentially quasi-mixing limits for killed symmetric Lévy processes
Modern Stochastics: Theory and ApplicationsQuasi-mixing limits of the killed symmetric Lévy process are studied. It is proved that (intrinsic) ultracontractivity of the underlying process implies the existence of its (uniformly) exponentially quasi-mixing limits. As a by-product, this implication
Yunxi Wu, Hanjun Zhang, Huasheng Li
doaj +1 more source