On a class of Levy processes used to model stock price movements with possible downward jumps
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