Approximations for the distributions of bounded variation Lévy processes
DOI10.1016/J.SPL.2010.07.019zbMATH Open1205.60096OpenAlexW2054526198MaRDI QIDQ613155FDOQ613155
Authors: 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
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transition distributionssmall-time expansions of distributionstransition density approximationsLévy processes
Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99)
Cites Work
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Title not available (Why is that?)
- Tempering stable processes
- The Variance Gamma Process and Option Pricing
- Small-time expansions for the transition distributions of Lévy processes
- Title not available (Why is that?)
- Probability measures, Lévy measures and analyticity in time
- Fitting the variance-gamma model to financial data
- Statistical analysis for discretely observed Lévy processes
- Title not available (Why is that?)
- FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
Cited In (6)
- On the approximation of Lévy driven Volterra processes and their integrals
- Asymptotics of one-dimensional Lévy approximations
- Approximating Lévy processes with completely monotone jumps
- Approximate formulas of Lévy-Khintchine for characteristic functions defined by PII processes in near intervals
- Stochastic bounds for Lévy processes.
- On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes
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