Approximations for the distributions of bounded variation Lévy processes

DOI10.1016/J.SPL.2010.07.019zbMATH Open1205.60096OpenAlexW2054526198MaRDI QIDQ613155FDOQ613155

José E. Figueroa-López

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.019

zbMATH Keywords

transition distributionssmall-time expansions of distributionstransition density approximationsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99)

Cites Work

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• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Tempering stable processes
• The Variance Gamma Process and Option Pricing
• Small-time expansions for the transition distributions of Lévy processes
• Probability measures, Lévy measures and analyticity in time
• Fitting the variance-gamma model to financial data
• Statistical analysis for discretely observed Lévy processes
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS

Cited In (3)

• On the approximation of Lévy driven Volterra processes and their integrals
• Stochastic bounds for Lévy processes.
• On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes

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