Search Results - subject:"Levy Processes"

Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183

Persistent link: https://www.econbiz.de/10011742159

Sharing and growth in general random multiplicative environments

Liebmann, Thomas; Kassberger, Stefan; Hellmich, Martin - In: European journal of operational research : EJOR 258 (2017) 1, pp. 193-206

Persistent link: https://www.econbiz.de/10011641512

On the optimality of periodic barrier strategies for a spectrally positive Lévy process

Pérez, José-Luis; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 77 (2017), pp. 1-13

Persistent link: https://www.econbiz.de/10011783865

R-estimation in semiparametric dynamic location-scale models

Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247

Persistent link: https://www.econbiz.de/10011818285

A new factor to explain implied volatility smirk

Barbachan, José Santiago Fajardo - In: Applied economics 49 (2017) 40, pp. 4026-4034

Persistent link: https://www.econbiz.de/10011820005

Bond valuation for generalized Langevin processes with integrated Lévy noise

Paseka, Alex; Thavaneswaran, Aerambamoorthy - In: The Journal of Risk Finance 18 (2017) 5, pp. 541-563

-free bond and bond option prices for short rate models driven by a variety of Lévy processes, which include Vasicek model and …

Persistent link: https://www.econbiz.de/10014902070

U.S. stock market crash risk, 1926–2010

Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259

Persistent link: https://www.econbiz.de/10009666837

U.S. stock market crash risk, 1926–2010

Bates, David S. - In: Journal of Financial Economics 105 (2012) 2, pp. 229-259

This paper examines how well alternate time-changed Lévy processes capture stochastic volatility and the substantial …

Persistent link: https://www.econbiz.de/10010617600

Quasi-stationary distributions and Yaglom limits of self-similar Markov processes

Haas, Bénédicte; Rivero, Víctor - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 4054-4095

We discuss the existence and characterization of quasi-stationary distributions and Yaglom limits of self-similar Markov processes that reach 0 in finite time. By Yaglom limit, we mean the existence of a deterministic function g and a non-trivial probability measure ν such that the process...

Persistent link: https://www.econbiz.de/10011065022

Nonparametric estimation of Levy processes with a view towards mathematical finance

Figueroa-Lopez, Jose Enrique - 2004

properties of Levy processes for small time spans, on the nature of the jumps of the process, and on methods of estimation for …

Persistent link: https://www.econbiz.de/10009475888