Lévy processes in finance: A remedy to the non-stationarity of continuous martingales

DOI10.1007/s007800050047zbMath0909.90025OpenAlexW2089316030MaRDI QIDQ1265771

Marc Yor, Boris Leblanc

Publication date: 8 April 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050047

zbMATH Keywords

Lévy processesforward-start-optionsmartingales with stationary increments

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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