𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Correlation cascades of Lévy-driven random processes

✍ Scribed by Iddo Eliazar; Joseph Klafter


Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
352 KB
Volume
376
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Computer simulation of diffusions driven
✍ Aleksander Janicki 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 262 KB

In this paper we demonstrate that with the use of numerical discretization methods and computer simulation techniques it is possible to construct approximations of stochastic integrals with integrators defined by a-stable (stable) Lrvy motion. As a consequence, solving numerically stochastic differe

On the extreme flights of one-sided Lévy
✍ Iddo Eliazar; Joseph Klafter 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 223 KB

We explore the statistical behavior of the order statistics of the ights of one-sided LÃ evy processes (OLPs). We begin with the study of the extreme ights of general OLPs, and then focus on the class of selfsimilar processes, investigating the following issues: (i) the inner hierarchy of the extrem

Numerical pricing of American options un
✍ Nisha Rambeerich; Desire Yannick Tangman; Muddun Bhuruth 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 245 KB

## Abstract Under infinite activity Lévy models, American option prices can be obtained by solving a partial integro‐differential equation (PIDE), which has a singular kernel. With increasing degree of singularity, standard time‐stepping techniques may encounter difficulties. This study examines ex