Approximations for the distributions of bounded variation Lévy processes
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Publication:613155
DOI10.1016/j.spl.2010.07.019zbMath1205.60096MaRDI QIDQ613155
Publication date: 20 December 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.019
Lévy processes; transition distributions; small-time expansions of distributions; transition density approximations
60G51: Processes with independent increments; Lévy processes
60F99: Limit theorems in probability theory
Cites Work
- Tempering stable processes
- Probability measures, Lévy measures and analyticity in time
- Small-time expansions for the transition distributions of Lévy processes
- FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Fitting the variance-gamma model to financial data
- The Variance Gamma Process and Option Pricing
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