Approximating Lévy processes with completely monotone jumps
From MaRDI portal
Publication:259581
DOI10.1214/14-AAP1093zbMath1339.60050arXiv1404.0597OpenAlexW3102951487MaRDI QIDQ259581
Alexey Kuznetsov, Daniel Hackmann
Publication date: 11 March 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.0597
Lévy processesPadé approximationrational interpolationJacobi polynomialsGaussian quadraturecompletely monotone jumpshyperexponential processesStieltjes functions
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Analytic techniques for option pricing under a hyperexponential Lévy model ⋮ On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ Classical robots perturbed by Lévy processes: analysis and Lévy disturbance rejection methods ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ The disorder problem for purely jump Lévy processes with completely monotone jumps ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails ⋮ A new class of survival distribution for degradation processes subject to shocks ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Meromorphic Lévy processes and their fluctuation identities
- On the distribution of exponential functionals for Lévy processes with jumps of rational transform
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- Fast and accurate pricing of barrier options under Lévy processes
- The interpolation of Pick functions
- Padé approximation of Stieltjes series
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Asian options and meromorphic Lévy processes
- Fluctuations of Lévy processes with applications. Introductory lectures
- Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
- Wiener-Hopf Factorization of Diffusions and Lévy Processes
- Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions
- PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
- Stieltjes and other integral representations for functions of LambertW
- APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
- A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
- A note on Padé approximations and generalized hypergeometric functions
- A Fortran 90-based multiprecision system
- Financial Modelling with Jump Processes
- The Variance Gamma Process and Option Pricing
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- Calculation of Gauss Quadrature Rules
- On the Construction of Gaussian Quadrature Rules from Modified Moments
- Padé Approximations to the Logarithm I: Derivation Via Differential Equations
This page was built for publication: Approximating Lévy processes with completely monotone jumps