Time consistency of Lévy models

DOI10.1088/1469-7688/3/1/304zbMATH Open1405.91610OpenAlexW2107479923MaRDI QIDQ4647239FDOQ4647239

Authors: Ernst Eberlein, Fehmi Özkan 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/1/304

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zbMATH Keywords

convolutionscalingLévy processesinfinitely divisible distributions, generalized hyperbolic distributionsintraday modeling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (4)

• A semi-parametric approach to risk management
• Time change equations for Lévy-type processes
• Estimating time-changes in noisy Lévy models
• Title not available (Why is that?)

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