Asymptotic results for time-changed Lévy processes sampled at hitting times

DOI10.1016/J.SPA.2011.03.013zbMATH Open1230.60050arXiv1007.1414OpenAlexW2019447516MaRDI QIDQ550169FDOQ550169

Authors: Mathieu Rosenbaum, Peter Tankov 

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We provide asymptotic results and develop high frequency statistical procedures for time-changed L'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with respect to the starting point is equal to $varepsilon$. This setting can be seen as a first step towards a model for tick-by-tick financial data allowing for large jumps. For a wide class of L'evy processes, we introduce a renormalization depending on $varepsilon$, under which the L'evy process converges in law to an $alpha$-stable process as $varepsilon$ goes to $0$. The convergence is extended to moments of hitting times and overshoots. In particular, these results allow us to construct consistent estimators of the time change and of the Blumenthal-Getoor index of the underlying L'evy process. Convergence rates and a central limit theorem are established under additional assumptions.

Full work available at URL: https://arxiv.org/abs/1007.1414

Recommendations

• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Estimation of the activity of jumps in time-changed Lévy models
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• Method of moment estimation in time-changed Lévy models
• Statistical inference for time-changed Lévy processes via Mellin transform approach

zbMATH Keywords

central limit theoremhitting timesBlumenthal-Getoor indexstable processesovershootsstatistics of high frequency datatime-changed Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Cites Work

• A jump-diffusion model for option pricing
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Asymptotic properties of power variations of Lévy processes
• Tempering stable processes
• Stochastic Volatility for Lévy Processes
• Title not available (Why is that?)
• Volatility estimators for discretely sampled Lévy processes
• Processes of normal inverse Gaussian type
• Microstructure noise in the continuous case: the pre-averaging approach
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• A Tale of Two Time Scales
• Introductory lectures on fluctuations of Lévy processes with applications.
• Title not available (Why is that?)
• Testing for jumps in a discretely observed process
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Estimating the degree of activity of jumps in high frequency data
• Jump-adapted discretization schemes for Lévy-driven SDEs
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• First Passage Times for Symmetric Stable Processes in Space
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Irregular sampling and central limit theorems for power variations: the continuous case
• Realized volatility when sampling times are possibly endogenous
• Realized volatility with stochastic sampling
• Limit theorems for multipower variation in the presence of jumps
• On the Distribution of First Hits for the Symmetric Stable Processes
• The First Passage Problem for a Continuous Markov Process
• Integrated volatility and round-off error
• Is Brownian motion necessary to model high-frequency data?
• Stability of the overshoot for Lévy processes
• The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
• Inference in Lévy-type stochastic volatility models
• Discretization error of stochastic integrals
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Moments of the first-passage time of a Wiener process with drift between two elastic barriers
• On the microstructural hedging error

Cited In (14)

• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
• Stability of overshoots of Markov additive processes
• HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
• Hitting times of points and intervals for symmetric Lévy processes
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• Asymptotically optimal discretization of hedging strategies with jumps
• Hitting Probabilities for Spectrally Positive Lévy Processes
• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
• Small-maturity digital options in Lévy models: an analytic approach
• CBI-time-changed Lévy processes
• Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models

This page was built for publication: Asymptotic results for time-changed Lévy processes sampled at hitting times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q550169)