L´evy process
Variance Reduction with Control Variate for Pricing Asian Options in a Geometric L´evy Model
... finite-activity L´evy process and we study the pricing of gen- eralized Asian options under the ...the L´evy and the statistical properties of the ...
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Estimation for Constantinides-Ingersol Model with Small L´evy Noises from Discrete Observations
... The Constantinides-Ingersol model( [7]), which was in- troduced in 1992, is a nonlinear economic model introduced to exam the value of the timing option regarding the re- alization of capital gains and losses on bondsand ...
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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
... exponential L´ evy ...the L´ evy process by performing the computations efficiently and fast using the FFT, which leads to a CPU time that grows as O(M log M ), where M is the num- ber ...
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Brownian motion and Levy processes on locally compact groups
... any L´evy process on G is determined by a Euclidean Brownian motion, coupled to the Lie algebra through a given projective basis, and an independent Poisson random measure which lives on the ...
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Analysis of stochastic fluid queues driven by local time processes
... a process which is the local time of a certain Markov ...Markov process is a L´evy process (a subordinator) hence making the theory of L´evy processes ...point ...
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Markov chain approximations to, and some fluctuation results for, Lévy processes
... the process under approximation; [Crosby et ...to L´ evy-process-driven SDEs, [Kohatsu-Higa et ...Poisson process and a high order scheme for the Brownian component (respectively ...
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Martingale-valued measures, Ornstein-Uhlenbeck processes with jumps and operator self-decomposability in Hilbert space
... We aim to show that random variables of the form Z = R 0 ∞ S(r)dX(r), where X is a L´evy process are operator self-decomposable, when the limit makes sense. For each t ≥ 0, we define R 0 t S(r)dX(r) ...
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Parameter Estimation for Discretely Observed Vasicek Model Driven by Small L´evy Noises
... the L´evy ...small L´evy noises have been studied by some ...jump process, Bao( [2]) developed the approximate bias of the ordinary least squares estimator of the Vasicek model driven ...
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Markov chain approximations to scale functions of Lévy processes
... free L´evy chains (they being the continuous-time analogues of random walks, which are skip-free to the right), describes their scale functions and how to compute ...negative L´evy ...
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A Levy process-based framework for the fair valuation of participating life insurance contracts
... price process used in this study is a L´evy process with finite activity, ...a process which can be decomposed as the sum of a Brownian motion with drift (the diffusion part) and a ...
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A Levy Regime Switching Temperature Dynamics Model for Weather Derivatives
... mean-reverting process as their base regime and a Brownian motion with mean different from zero as their shifted regime, Elias et ...underlying process. This led to a better pricing process as ...
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On Sequential Calibration for an Asset Price Model with Piecewise L´evy Processes
... piecewise L´evy processes, with a view towards both pricing and hedging of ...piecewise L´evy process is a stochastic process with independent increments, which is a homogeneous ...
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Regime Switching And Levy Jump Dynamics In Option Adjusted Spreads
... a L´evy process, with a view to applying this methodology to study OAS ...of L´evy processes, then we outline their properties with reference to path variation and the ...
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Multivariate Asset Models Using Levy Processes and Applications
... univariate L´ evy process for Y (t) and Z (t); the resulting distribution of the margin might not be known analytically, but it is still accessible via the corresponding characteristic ...margin ...
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Transience and non explosion of certain stochastic Newtonian systems
... stochastic process is a diffusion process with con- tinuous sample paths, usually a standard Wiener ...in L´evy processes, which can be observed both in mathematics literature and in appli- ...
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A Generalized Linear Transformation Method for Simulating Meixner L´evy Processes
... Abstract —In this paper, we consider an enhanced quasi-Monte Carlo (QMC) method for pricing deriva- tive securities when the underlying asset price follows an exponential L´ evy process. In ...
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Quantum stochastic flows on universal partial isometry matrix C* algebras
... *-bialgebraic L´ evy processes to the level of ...concrete L´ evy processes on a compact semigroup with identity ...defining L´ evy processes on C*-bialgebras already ...of ...
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Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
... a L´evy process with an infinite measure ν, by a sequence of BSDEs where the driving processes have a finite L´evy ...general L´evy ...a L´evy process ...
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A spectral approach to pricing of forward starting options
... The payoff function of the forward starting option looks simple, but the valuation of the option is demanding since typically we need the models that can capture stochastic volatility and/or jumps. Fortunately, for the ...
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Term structure of interest rates with stickiness: a subdiffusion approach
... (OU) process is proposed for spot ...root process for the spot rate in a general equilibrium framework in order to introduce heteroscedasticity in the spot rate ...
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