Results 181 to 190 of about 74,210 (205)

MORTALITY MODELING WITH LEVY PROCESSES

2012
Mortality and longevity risk is usually one of the main risk components in economic capital models of insurance companies. Above all, future mortality expectations are an important input in the modeling and pricing of long term products. Deviations from the expectation can lead insurance company even to default if sufficient reserves and capital is not
YUCEL, M. Serhat, UNAL, Gazanfer
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Option Pricing with Levy-Stable Processes [PDF]

, 2004
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process.
Alvaro Cartea, Sam Howison
openaire  

Levy Process

SSRN Electronic Journal, 2016
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Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes

2022
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Nonparametric Estimation of Trend for Stochastic Differential Equations Driven by Fractional Levy Process

Journal of Statistical Theory and Practice, 2020
B L S Prakasa Rao, Prakasa Rao B L S
exaly  

On the Distribution of the Hilbert Transform of the Local Time of a Symmetric Levy Process

Annals of Probability, 1992
P J Fitzsimmons, R K Getoor
exaly  

Levy processes

2010
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Levy processes

2012
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On the Hausdorff dimension of the inverse image of a compact set under a levy process

Acta Mathematica Sinica, English Series, 1995
Luqin Liu
exaly  

The truncated Levy-flight process: Application to the random spin phase change in non-linear magnetic fields

Physica A: Statistical Mechanics and Its Applications, 2006
Oleg Posnansky, N Jon Shāh
exaly