Lévy-Ito models in finance

DOI10.1214/21-PS1zbMath1480.91286arXiv1907.08499OpenAlexW3157174460MaRDI QIDQ2039766

Leandro Sánchez-Betancourt, Sebastian Jaimungal, Lane P. Hughston, George Bouzianis

Publication date: 5 July 2021

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.08499

zbMATH Keywords

Lévy processesasset pricingLévy measurerisk aversionforeign exchangeVasicek modelPoisson random measureinterest rate modelsrisk premiumpricing kernelsSiegel's paradox

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes

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