Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case

DOI10.1239/aap/1175266477zbMath1112.60037OpenAlexW2091563716MaRDI QIDQ3435398

Michael Schröder

Publication date: 26 April 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1175266477

zbMATH Keywords

orthogonal polynomialLaguerre reduction seriesconstructive method for functionals of Lévy processesgeneralized inverse Gaussian Lévy process

Mathematics Subject Classification ID

Related Items (3)

On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type ⋮ Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values

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• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS

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