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Chapter 3 Modeling Financial Security Returns Using Lévy Processes · Study

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ChapterChapter 3 Modeling Financial Security Returns Using Lévy Processes

Liuren Wu2007

Chapter2007

Chapter 3 Modeling Financial Security Returns Using Lévy Processes

17 citations·0/0 files stored·Handbooks in operations research and management science

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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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2005Modeling Financial Security Returns Using Levy Processespreprint · 64 shared references 2011Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptionspreprint · 22 shared references 2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptionsarticle · 21 shared references 2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELINGarticle · 20 shared references 2010Variance dynamics: Joint evidence from options and high-frequency returnsarticle · 20 shared references 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 19 shared references

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Year2007

Typechapter

Published2007-01-01

VenueHandbooks in operations research and management science

ISSN-L0927-0507

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0927-0507(07)15003-9

openalex_workW1569014941

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