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Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Exponential Levy processes short-time asymptotics long-time asymp-totics implied volatility Lewis-Lipton formula.
2012/9/14
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
Robust utility maximization for Levy processes:Penalization and solvability
Convex risk measures duality robust utility Levy processes.
2012/9/14
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Regularity of the Optimal Stopping Problem for Levy Processes with Non-Degenerate Diffusions
Regularity Levy Processes Non-Degenerate Diffusions
2010/10/29
The value function of an optimal stopping problem for a process with L´evy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the proces...
FISHER IS INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES
Levy process jumps rate of convergence optimal estimation
2014/3/13
The copyright to this Article is held by the Econometric Society. It may be downloaded,printed and reproduced only for educational or research purposes, including use in course packs. No downloading o...
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED LEVY PROCESSES
Jumps efficiency inference discrete sampling
2014/3/13
This paper studies the estimation of the volatility parameter in a model where the driving process is a Brownian motion or a more general symmetric stable process that is perturbed by another Lévy pro...