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Jump–Type Lévy Processes · Study

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ChapterJump–Type Lévy Processes

Ernst Eberlein2009

Chapter2009

Jump–Type Lévy Processes

41 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 1976Option pricing when underlying stock returns are discontinuous 2005Stochastic Integration and Differential Equations 2003Financial Modelling with Jump Processes 1900Théorie de la spéculation 2002A Jump-Diffusion Model for Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation

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2013Fourier-Based Valuation Methods in Mathematical Finance 2012Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration

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2007Calibration of Lévy Term Structure Modelschapter · 15 shared references 2005Time-inhomogeneous Levy processes in interest rate and credit risk modelsthesis · 14 shared references 2008An introduction to Lévy processes with applications in financepreprint · 13 shared references 2012General theory of geometric Lévy models for dynamic asset pricingarticle · 13 shared references 2004Fast deterministic pricing of options on Lévy driven assetsarticle · 12 shared references 2008On the duality principle in option pricing: semimartingale settingarticle · 12 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71297-8_19

openalex_workW46087696

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