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

DOI10.1016/j.spa.2011.03.013zbMath1230.60050arXiv1007.1414OpenAlexW2019447516MaRDI QIDQ550169

Mathieu Rosenbaum, Peter Tankov

Publication date: 8 July 2011

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

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

zbMATH Keywords

central limit theoremhitting timesstable processesBlumenthal-Getoor indextime-changed Lévy processesovershootsstatistics of high frequency data

Mathematics Subject Classification ID

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

Related Items (10)

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

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