Processes of Meixner type
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Publication:1567713
DOI10.1007/BF02465533zbMath0959.60034MaRDI QIDQ1567713
Publication date: 26 April 2001
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
self-similaritylong-range dependenceLévy processEsscher transformsemimartingale characteristicsMeixner process
Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Stationary stochastic processes (60G10) Characteristic functions; other transforms (60E10) Self-similar stochastic processes (60G18)
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Cites Work
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- Option Pricing With V. G. Martingale Components1
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