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Financial Modeling and Option Theory with the Truncated Levy Process
, 1997In 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
A. Matacz
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Priors Based on Levy Processes
2016The independent increments process, also known as (positive) Levy process, with its associated Levy measure has emerged as an important vehicle in the development of a group of processes such as neutral to the right, gamma, extended gamma, beta, and beta-Stacy processes that are discussed cohesively in this chapter.
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Generalized parking problems for levy processes
Sequential Analysis, 1998Let X(t), 0 ≤ t a∗. Under suitable conditions on g the threshold a∗ can be characterized in terms of the size of the jump of X over an infinite barrier. The optimal solution can also be characterized as an infinitesimal look ahead stopping rule. We present an application of our results to tests of power one.
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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
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Pricing Bermudan Options in Lévy Process Models
SIAM Journal on Financial Mathematics, 2013Liming Feng, Xiong Lin
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MORTALITY MODELING WITH LEVY PROCESSES
2012Mortality 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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A Drawdown Reflected Spectrally Negative Lévy Process
, 2018Wenyuan Wang, Xiaowen Zhou
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Approximate controllability of stochastic differential systems driven by a Lévy process
International Journal of Control, 2013Yong Ren, Honglin Dai, R. Sakthivel
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Scale-invariant Truncated Levy Process
Europhysics letters, 2000We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage that all moments are finite (and so ...
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