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Jump–Type Lévy Processes

  • Ernst EberleinEmail author
Chapter

Abstract

Lévy processes are developed in the more general framework of semimartingale theory with a focus on purely discontinuous processes. The fundamental exponential Lévy model is given, which allows us to describe stock prices or indices in a more realistic way than classical diffusion models. A number of standard examples including generalized hyperbolic and CGMY Lévy processes are considered in detail.

Keywords

Option Price Variance Gamma Local Martingale Divisible Distribution Term Structure Model 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of Mathematical StochasticsUniversity of FreiburgFreiburgGermany

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