Convex ordering criteria for Lévy processes

DOI10.1007/S11634-007-0008-XMaRDI QIDQ477990zbMATH OpenOpenAlexFDO

Authors Jan Bergenthum, Ludger Rüschendorf

Publication date 10 December 2014

Published in Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11634-007-0008-x

zbMATH Keywords

convex orderingLévy processLévy measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• A martingale approach to premium calculation principles in an arbitrage free market
• Comparison methods for stochastic models and risks
• Comparison of option prices in semimartingale models
• Comparison of semimartingales and Lévy processes
• Coupling and option price comparisons in a jump-diffusion model
• Financial Modelling with Jump Processes
• Generalized convex inequalities
• Hyperbolic distributions in finance
• Incompleteness of markets driven by a mixed diffusion
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• Option pricing when underlying stock returns are discontinuous
• Processes of normal inverse Gaussian type
• Robustness of the Black and Scholes Formula
• Stable Paretian models in finance
• Stochastic Volatility for Lévy Processes
• Stochastic orders in dynamic reinsurance markets
• The Pareto-Levy Law and the Distribution of Income
• Volatility misspecification, option pricing and superreplication via coupling

Cited in

(4)

• scientific article; zbMATH DE number 5693693 (Why is no real title available?)
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