Jump–Type Lévy Processes

Ernst Eberlein ()
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Ernst Eberlein: University of Freiburg, Department of Mathematical Stochastics

Chapter 19 in Handbook of Financial Time Series, 2009, pp 439-455 from Springer

Abstract: Abstract Lévy processes are developed in the more general framework of semimartingale theory with a focus on purely discontinuous processes. The fundamental exponential Lévy model is given, which allows us to describe stock prices or indices in a more realistic way than classical diffusion models. A number of standard examples including generalized hyperbolic and CGMY Lévy processes are considered in detail.

Keywords: Option Price; Variance Gamma; Local Martingale; Divisible Distribution; Term Structure Model (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_19

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DOI: 10.1007/978-3-540-71297-8_19

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