Lévy Processes and Geometric Lévy Process Models

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 2 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 7-20 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Lévy ProcessesDefinitions and propertiesInfinitely divisible distributionsCanonical representation of Lévy processesGeometric Lévy Process ModelsThe geometric Brownian motion modelGeometric compound Poisson modelsJump-diffusion modelsGeometric variance gamma modelsGeometric stable process modelsGeometric CGMY modelsDoléans-Dade ExponentialNotes

Keywords: Mathematical Finance; Incomplete Market; Option Pricing; Lévy Process; Minimal Entropy Martingale Measure; Calibration of [GLP & MEMM] Models (search for similar items in EconPapers)
Date: 2011
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