Time consistency of Lévy models

DOI10.1088/1469-7688/3/1/304zbMath1405.91610OpenAlexW2107479923MaRDI QIDQ4647239

Fehmi Özkan, Ernst Eberlein

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/1/304

zbMATH Keywords

Lévy processesconvolutionscalinginfinitely divisible distributions, generalized hyperbolic distributionsintraday modeling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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