Alpha-root Processes for Derivatives pricing

Bs Balakrishna

MPRA Paper from University Library of Munich, Germany

Abstract: A class of mean reverting positive stochastic processes driven by alpha-stable distributions, 1

Keywords: alpha-root process; square-root process; Cox-Ingersoll-Ross; CIR; stable process; Levy process; term-structure model; volatility smile (search for similar items in EconPapers)
JEL-codes: C15 C16 C46 G13 (search for similar items in EconPapers)
Date: 2010-01-11
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https://mpra.ub.uni-muenchen.de/19949/1/MPRA_paper_19949.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/20035/2/MPRA_paper_20035.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/20720/2/MPRA_paper_20720.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/21396/1/MPRA_paper_21396.pdf revised version (application/pdf)

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