FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS

DOI10.1142/S0219024900000073zbMath1154.91465arXivcond-mat/9710197MaRDI QIDQ3523549

Andrew Matacz

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9710197

zbMATH Keywords

random walksLevy processes, scaling theory, option pricing

Mathematics Subject Classification ID

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Cites Work

• The Pricing of Options and Corporate Liabilities
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

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