Add to ORKGIn this study, the stock prices process is modelled by stochastic differential equation driven by a general Lévy process. We review some fundemental mathematics proporties of Lévy distribution
b. Martingale inequalities: Doob's maximal inequality,Doob's stopping time theorem c. Mart...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
We prove a comparison principle for unbounded semicontinuous viscosity sub- and supersolutions of no...
The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
Modeling the stock price development as a geometric Brownian motion or, more generally, as a stochas...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...
In the standard modeling of the pricing of options and derivatives as generally understood these day...
Adopting a constant elasticity of variance formulation in the context of a general Levy process as t...
The assumption that observations are normally distributed is predominant in many areas of statistics...
It is widely accepted the use of the standard Brownian motion to model risky financial object, like ...
ABSTRACT. We study Lévy processes associated with the power-variance family of probability laws. Th...
Proces Levy’ego – proces stochastyczny charakteryzujący się jednorodnymi i niezależnymi przyrostami,...
In this paper we present parametric estimation of models for stock returns by describing price dynam...
b. Martingale inequalities: Doob's maximal inequality,Doob's stopping time theorem c. Mart...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
We prove a comparison principle for unbounded semicontinuous viscosity sub- and supersolutions of no...
The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
Modeling the stock price development as a geometric Brownian motion or, more generally, as a stochas...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...
In the standard modeling of the pricing of options and derivatives as generally understood these day...
Adopting a constant elasticity of variance formulation in the context of a general Levy process as t...
The assumption that observations are normally distributed is predominant in many areas of statistics...
It is widely accepted the use of the standard Brownian motion to model risky financial object, like ...
ABSTRACT. We study Lévy processes associated with the power-variance family of probability laws. Th...
Proces Levy’ego – proces stochastyczny charakteryzujący się jednorodnymi i niezależnymi przyrostami,...
In this paper we present parametric estimation of models for stock returns by describing price dynam...
b. Martingale inequalities: Doob's maximal inequality,Doob's stopping time theorem c. Mart...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
We prove a comparison principle for unbounded semicontinuous viscosity sub- and supersolutions of no...