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ArticleAsymptotic results for time-changed Lévy processes sampled at hitting times

Mathieu Rosenbaum2011

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Articlebronze2011

Asymptotic results for time-changed Lévy processes sampled at hitting times

Mathieu Rosenbaum · Peter Tankov

19 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

1999Continuous Martingales and Brownian Motion 1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 2003Limit Theorems for Stochastic Processes 2002A Jump-Diffusion Model for Option Pricing 1998The Variance Gamma Process and Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

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2016Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps

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Year2011

Typearticle

Published2011-04-15

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2011.03.013

openalex_workW2019447516

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