<i>G</i>-Lévy processes under sublinear expectations
نویسندگان
چکیده
منابع مشابه
A New Central Limit Theorem under Sublinear Expectations
We describe a new framework of a sublinear expectation space and the related notions and results of distributions, independence. A new notion of G-distributions is introduced which generalizes our G-normal-distribution in the sense that mean-uncertainty can be also described. W present our new result of central limit theorem under sublinear expectation. This theorem can be also regarded as a ge...
متن کاملEfficient option pricing under Lévy processes, with CVA and FVA
We generalize the Piterbarg [1] model to include (1) bilateral default risk as in Burgard and Kjaer [2], and (2) jumps in the dynamics of the underlying asset using general classes of Lévy processes of exponential type. We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We highlight the importance of this work in the context of...
متن کاملFast and accurate pricing of barrier options under Lévy processes
We suggest two new fast and accurate methods, Fast Wiener-Hopf method (FWH-method) and Iterative Wiener-Hopf method (IWH-method), for pricing barrier options for a wide class of Lévy processes. Both methods use the Wiener-Hopf factorization and Fast Fourier Transform algorithm. Using an accurate albeit relatively slow finite-difference algorithm developed in Levendorskǐi et al (2006) (FDS-metho...
متن کاملConstructing Sublinear Expectations on Path Space
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random Gexpectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent li...
متن کاملBasics of Lévy Processes *
This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”.
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: Probability, Uncertainty and Quantitative Risk
سال: 2021
ISSN: 2367-0126
DOI: 10.3934/puqr.2021001