On a class of Levy processes used to model stock price movements with possible downward jumps
C. R. Math. Rep. Acad. Sci. Canada Vol. 24 (4) 2002, pp. 152–159
December 1, 2002
V. Vinogradov
Abstract/Résumé:
Keywords:
AMS Subject Classification: Large deviations, Sample path properties, Jump processes, Applications (reliability; demand theory; etc.) 60F10, 60G17, 60J75, 60K10
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On a class of Levy processes used to model stock price movements with possible downward jumps
AMS Subject Classification: Large deviations, Sample path properties, Jump processes, Applications (reliability; demand theory; etc.) 60F10, 60G17, 60J75, 60K10
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