Convex ordering criteria for Lévy processes

DOI10.1007/s11634-007-0008-xzbMath1301.91018OpenAlexW2088765274MaRDI QIDQ477990

Jan Bergenthum, Ludger Rüschendorf

Publication date: 10 December 2014

Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11634-007-0008-x

zbMATH Keywords

Lévy processLévy measureconvex ordering

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Couplings for processes with independent increments

Cites Work

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• Option pricing when underlying stock returns are discontinuous
• The Pareto-Levy Law and the Distribution of Income
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
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