On sequential calibration for an asset price model with piecewise Lévy processes

被引：0
|
作者：
Kawai, Reiichiro [1 ]
机构：
[1] Department of Mathematics, University of Leicester, Leicester LE1 7RH, United Kingdom
来源：
IAENG International Journal of Applied Mathematics | 2010年 / 40卷 / 04期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：1 / 8
相关论文
共 50 条
  • [1] GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
    Kawai, Reiichiro
    Takeuchi, Atsushi
    MATHEMATICAL FINANCE, 2011, 21 (04) : 723 - 742
  • [2] The critical price for the American put in an exponential Lévy model
    Damien Lamberton
    Mohammed Mikou
    Finance and Stochastics, 2008, 12 : 561 - 581
  • [3] Optimal asset allocation replicating portfolio in financial market driven by Lévy processes
    Wang, Yan
    Feng, Jing-Hai
    Feng, En-Min
    Dalian Ligong Daxue Xuebao/Journal of Dalian University of Technology, 2011, 51 (06): : 927 - 932
  • [4] ON EQUILIBRIUM ASSET PRICE PROCESSES
    HE, H
    LELAND, H
    REVIEW OF FINANCIAL STUDIES, 1993, 6 (03): : 593 - 617
  • [5] A risky asset model based on Lvy processes and asymptotically self-similar activity time processes with long-range dependence
    WANG DingCheng
    ScienceChina(Mathematics), 2013, 56 (11) : 2353 - 2366
  • [6] A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
    DingCheng Wang
    Science China Mathematics, 2013, 56 : 2353 - 2366
  • [7] A Continuum Percolation Model for Stock Price Fluctuation as a Lévy Process
    WANG Ning
    RONG Ximin
    DONG Guanghua
    Journal of Systems Science & Complexity, 2015, 28 (01) : 175 - 189
  • [8] A risky asset model based on L,vy processes and asymptotically self-similar activity time processes with long-range dependence
    Wang DingCheng
    SCIENCE CHINA-MATHEMATICS, 2013, 56 (11) : 2353 - 2366
  • [9] A continuum percolation model for stock price fluctuation as a Lévy process
    Ning Wang
    Ximin Rong
    Guanghua Dong
    Journal of Systems Science and Complexity, 2015, 28 : 175 - 189
  • [10] A continuum percolation model for stock price fluctuation as a L,vy process
    Wang Ning
    Rong Ximin
    Dong Guanghua
    JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2015, 28 (01) : 175 - 189
12345