Results 91 to 100 of about 74,210 (205)
Sampling error of the supremum of a Lévy process
, 2011 This thesis is to study the expected difference of the continuous supremum and discrete maximum of a Lévy process that is often used in finance. We will show that the expected difference is a quantity that highly depends on the variational property of ...
Chen, Ao
core
Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis
Discrete Dynamics in Nature and Society, 2018 This paper describes the peak, fat tail, and skewness characteristics of asset price via a Lévy process. It applies asymmetric GARCH model to depict asset price’s random volatility characteristics and builds a GARCH-Lévy option pricing model with random ...
Gaoxun Zhang +3 more
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Financial Modeling and Option Theory with the Truncated Levy Process
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at
Andrew Matacz
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JAKP (Jurnal Administrasi dan Kebijakan Publik)This study aims to analyze the effectiveness of levy collection at Ragunan Wildlife Park in 2022 and its contribution to the Regional Revenue (PAD) of DKI Jakarta Province.
Miftah Farid Khoerudin, Inayati Inayati
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NIG-Levy process in asset price modeling: case of Estonian companies [PDF]
, 2013 As an asset is traded at fair value, its varying price trace an interesting trajectory reflecting in a general way the asset’s value and underlying economic activities.
Teneng, Dean
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A multivariate Levy process model with linear correlation
In this paper, we develop a multivariate risk-neutral Levy process model and discuss its applicability in the context of the volatility smile of multiple assets.
Reiichiro Kawai
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On Levy Processes Conditioned to Stay Positive [PDF]
, 2006 We construct the law of Levy processes conditioned to stay positive under general hypotheses. We obtain a Williams type path decomposition at the minimum of these processes.
Doney, R.A., Chaumont, L.
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Zelotes baram Levy, 2009, n. sp.
, 2009 <i>Zelotes baram</i> n. sp. <p>Figs 67–70</p> <p> <b>Type material.</b> Adult male holotype from Bar’am forest, northern Galilee, Israel, leg.
Levy, Gershom
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Bandit problems with Levy payoff processes
, 2009 We study two-armed Levy bandits in continuous-time, which have one safe arm that yields a constant payoff s, and one risky arm that can be either of type High or Low; both types yield stochastic payoffs generated by a Levy process. The expectation of the Levy process when the arm is High is greater than s, and lower than s if the arm is Low.
Cohen, Asaf, Solan, Eilon
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Zoropsis thaleri Levy, 2007, n. sp.
, 2007 Zoropsis thaleri n. sp. Figs. 10–15 Holotype. adult male from Odem Reserve (754998 / 677281; 950 m.), Golan Heights, Israel, leg. Rakefet Sharon, November 1996 (HUJ 15401), pitfall trap; female paratype with same data.
Levy, Gershom
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