Results 111 to 120 of about 74,210 (205)

Homogeneity tests for Levy processes and applications [PDF]

, 2011
In this paper we will check the homogeneity/heterogeneity of Levy processes using some non-parametric homogeneity tests. First we create two samples from two Levy processes starting from the definition of the Levy process, and next we test if the two ...
Ciuiu, Daniel
core  

Liquidity Premiums in a Levy Market

, 2015
This paper gives a theorem for the continuous time super-replication cost of European options where the stock price follows an exponential Levy process.
Xing, Mei
core  

Fat-Tailed Distributions and Levy Processes

, 2008
The notion that natural disasters can be controlled is, of course, farcical; history is permeated with examples of countless failed attempts at this pointless task; it is synonymous with trying to build a perpetual motion machine. Nonetheless, there are ways to reduce their impact on human communities, particularly by looking away from the normal ...
openaire   +2 more sources

Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process

It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this ...
Shuguang Zhang, Qiang Zhang, Jia-an Yan
core   +1 more source

Levy Process Models for High Frequency Financial Data

In this paper we present parametric estimation of models for stock returns by describing price dynamic as the sum of two independent Levy components. The increments (moves) are viewed as discrete-time log price changes that follow an infinitely divisible
George Tauchen
core  

A fuzzy approach to option pricing in a Levy process setting

, 2013
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process.
Nowak, P., Romaniuk, M.
core  

OPTION PRICING WITH LEVY PROCESS USING MELLIN TRANSFORM

, 2006
Papier en cours de rédactionIn this paper, we use Mellin transform to get the expression for the free boundary an price of an American finite-lived option, when the underlying is govern by the Levy process.
Sadefo Kamdem, Jules
core   +1 more source

An enhanced adaptive elephant herding optimization based on hybrid cuckoo search algorithm and elite opposition-based learning. [PDF]

Sci Rep
Mohamed ZE, Dabour W.
europepmc   +1 more source

A Hybrid ISSA-XGBoost Model for Predicting Wellbore Leakage. [PDF]

Sensors (Basel)
Bai K, Chen J, Yin S, Wei C, Yan Y, Liu J.   +5 more
europepmc   +1 more source

General Sharpe Ratio Innovation with Levy Process and tis Performance in Different Stock Index

, 2011
Sharpe ratio is extensively used in performance of portfolio. However, it is based on assumption that return follows normal distribution. In other words, when return in asset is not normal distribution, the Sharpe ratio is not meaningful.
Liao, Jhan-yi
core