Mathematical Reports - Comptes rendus mathématiques

of the Academy of Science | de l'Académie des sciences

Mathematical Reports
Comptes rendus mathématiques

of the Academy of Science | de l'Académie des sciences

60G17 — 1 articles found.

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
Vol.24 (4) 2002
V. Vinogradov Details
(Received: 2002-06-04 )
(Received: 2002-06-04 )

V. Vinogradov

Abstract/Résumé:

No abstract available but the full text pdf may be downloaded at the title link below.

Keywords:

AMS Subject Classification: Large deviations, Sample path properties, Jump processes, Applications (reliability; demand theory; etc.) 60F10, 60G17, 60J75, 60K10

PDF(click to download): On a class of Levy processes used to model stock price movements with possible downward jumps