Search Results - subject:"Levy Processes"

Fast and accurate pricing of barrier options under Lévy processes

Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and Stochastics 13 (2009) 4, pp. 531-562

Persistent link: https://www.econbiz.de/10005061372

PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS

BOYARCHENKO, MITYA; LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1125-1170

We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Lévy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the...

Persistent link: https://www.econbiz.de/10008493065

Pricing and capital requirements for with profit contracts: modelling considerations

Ballotta, Laura - In: Quantitative Finance 9 (2009) 7, pp. 803-817

The aim of this paper is to provide an assessment of alternative frameworks for the fair valuation of life insurance contracts with a predominant financial component, in terms of impact on the market consistent price of the contracts, the embedded options, and the capital requirements for the...

Persistent link: https://www.econbiz.de/10008466736

Single name credit default swaptions meet single sided jump models

Jönsson, Henrik; Schoutens, Wim - In: Review of Derivatives Research 11 (2008) 1, pp. 153-169

Persistent link: https://www.econbiz.de/10005542786

Consumption processes and positively homogeneous projection properties

Fischer, Tom - In: Finance and Stochastics 12 (2008) 3, pp. 357-380

Persistent link: https://www.econbiz.de/10005390642

On q-optimal martingale measures in exponential Lévy models

Bender, Christian; Niethammer, Christina - In: Finance and Stochastics 12 (2008) 3, pp. 381-410

Persistent link: https://www.econbiz.de/10005390702

Dependence properties and comparison results for Lévy processes

Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Computational Statistics 67 (2008) 1, pp. 161-186

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In … supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula …. As far as comparisons of Lévy processes are concerned we consider the supermodular and the concordance order and …

Persistent link: https://www.econbiz.de/10010847741

Dependence properties and comparison results for Lévy processes

Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Mathematical Methods of Operations Research 67 (2008) 1, pp. 161-186

Persistent link: https://www.econbiz.de/10010999766

Median, concentration and fluctuations for Lévy processes

Houdré, Christian; Marchal, Philippe - In: Stochastic Processes and their Applications 118 (2008) 5, pp. 852-863

We estimate a median of f(Xt) where f is a Lipschitz function, X is a Lévy process and t is an arbitrary time. This leads to concentration inequalities for f(Xt). In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular...

Persistent link: https://www.econbiz.de/10008875409

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

Analyzing comovements in equity markets is important for risk diversification in portfolio management. Copulas have several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH model for analyzing the comovement of indexes in...

Persistent link: https://www.econbiz.de/10005046500