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Articles (24)

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1-10 of 24 results for Lévy process

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Select article: Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility

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Research article

First published 2017-5

Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility

Shuang Li, Yanli Zhou, Yonghong Wu [...]

Australian Journal of Management

Select article: A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process

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Research article

First published 2018-6-21

A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process

Farzad Alavi Fard, Armin Pourkhanali, Malick Sy

Algorithmic Finance

Select article: Asymptotic behavior of elliptic nonlocal equations set in cylinders

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Research article

First published 2014-9

Asymptotic behavior of elliptic nonlocal equations set in cylinders

Karen Yeressian

Asymptotic Analysis

Select article: Estimation of stable CARMA models with an application to electricity spot prices

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Research article

First published 2011-10

Estimation of stable CARMA models with an application to electricity spot prices

Isabel García, Claudia Klüppelberg, Gernot Müller

Statistical Modelling

Select article: Asymptotical behavior of partial integral-differential equation on nonsymmetric layered stable processes

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Research article

First published 2017-3-15

Asymptotical behavior of partial integral-differential equation on nonsymmetric layered stable processes

Junjun Kang, Yanbin Tang

Asymptotic Analysis

Select article: A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations

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Research article

First published 2021-01

A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations

Anna Maria Gambaro, Nicola Secomandi

Production and Operations Management

Select article: Stochastic Euler equations of fluid dynamics with Lévy noise

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Research article

First published 2016-8-10

Stochastic Euler equations of fluid dynamics with Lévy noise

Manil T. Mohan, Sivaguru S. Sritharan

Asymptotic Analysis

Select article: Modelling Electricity Swaps with Stochastic Forward Premium Models

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First published 2018-03

Modelling Electricity Swaps with Stochastic Forward Premium Models

Iván Blanco, Juan Ignacio Peña, Rosa Rodríguez

The Energy Journal

Select article: A mixed Sharpe ratio

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Research article

First published 2012-2

A mixed Sharpe ratio

W.K. Wong, J.A. Wright, S.C.P. Yam [...]

Risk and Decision Analysis

Select article: Power-law distributions: Beyond Paretian fractality

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Research article

First published 2009-8

Power-law distributions: Beyond Paretian fractality

Iddo Eliazar, Joseph Klafter

Risk and Decision Analysis

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