Stochastic Volatility for Lévy Processes

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Publication:4812839

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DOI10.1111/1467-9965.00020zbMath1092.91022OpenAlexW3121574170MaRDI QIDQ4812839

Marc Yor, Dilip B. Madan, Peter Carr, Hélyette Geman

Publication date: 23 August 2004

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00020

zbMATH Keywords

stochastic exponentials stock price models martingale models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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