Zobrazeno 1 - 10
of 25
pro vyhledávání: '"60G51, 91G20"'
Autor:
Olivares, Pablo
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models describing a bit
Externí odkaz:
http://arxiv.org/abs/2002.07117
Autor:
Küchler, Uwe, Tappe, Stefan
Publikováno v:
Stochastic Processes and Their Applications 118(2):261-283, 2008
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy processes. We
Externí odkaz:
http://arxiv.org/abs/1907.09857
Autor:
Küchler, Uwe, Tappe, Stefan
Publikováno v:
Journal of Econometrics 181(1):53-63, 2014
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of equivalent mar
Externí odkaz:
http://arxiv.org/abs/1907.05142
Publikováno v:
Int. J. Theor. Appl. Finance 21(8), 1850052, 2018
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alos (2012) for Heston (1993) SV
Externí odkaz:
http://arxiv.org/abs/1906.06930
Autor:
Fallahgoul, Hasan, Nam, Kihun
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their main result hinges on the stopping time property of the time changes, but all of the m
Externí odkaz:
http://arxiv.org/abs/1808.01852
Autor:
Hackmann, Daniel
We develop series expansions in powers of $q^{-1}$ and $q^{-1/2}$ of solutions of the equation $\psi(z) = q$, where $\psi(z)$ is the Laplace exponent of a hyperexponential L\'{e}vy process. As a direct consequence we derive analytic expressions for t
Externí odkaz:
http://arxiv.org/abs/1705.05934
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other factor is an O
Externí odkaz:
http://arxiv.org/abs/1308.3378
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes such that
Externí odkaz:
http://arxiv.org/abs/1201.5132
Autor:
Lamberton, Damien, Mikou, Mohammed
We study the behavior of the critical price of an American put option near maturity in the exponential L\'evy model when the underlying stock pays dividends at a continuous rate. In particular, we prove that, in situations where the limit of the crit
Externí odkaz:
http://arxiv.org/abs/1105.0284
Autor:
Molchanov, Ilya, Schmutz, Michael
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry pr
Externí odkaz:
http://arxiv.org/abs/0901.4914