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Modeling Financial Security Returns Using Levy Processes · Study

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PreprintModeling Financial Security Returns Using Levy Processes

Liuren Wu2005

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Preprintgreen2005

Modeling Financial Security Returns Using Levy Processes

36 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1965The Behavior of Stock-Market Prices 1985A Theory of the Term Structure of Interest Rates 1976Option pricing when underlying stock returns are discontinuous 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions

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2014Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach 2006International Capital Asset Pricing: Evidence from Options 2011Volatility forecasting of exchange rate by quantile regression

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.871760

openalex_workW1514861297

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