Fragmentation at height associated with Lévy processes
نویسندگان
چکیده
منابع مشابه
Skewness Premium with Lévy Processes ∗
We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is given by the Bate’s x% rule. In this paper we study SK under the absence of that symmetry condition. More exactly, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lév...
متن کاملBandit Problems with Lévy Processes
Authors are encouraged to submit new papers to INFORMS journals by means of a style file template, which includes the journal title. However, use of a template does not certify that the paper has been accepted for publication in the named journal. INFORMS journal templates are for the exclusive purpose of submitting to an INFORMS journal and should not be used to distribute the papers in print ...
متن کاملDiscrete Time Portfolio Selection with Lévy Processes
This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investor...
متن کاملBasics of Lévy Processes *
This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”.
متن کاملStochastic Bounds for Lévy Processes
Using the Wiener–Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Lévy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting points. In principle, this allows one to deduce Lévy process versions of many known results about the large-time behavior of random walks. This is illustrat...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2007
ISSN: 0304-4149
DOI: 10.1016/j.spa.2006.06.001