Geman, Hélyette (2002) Pure jump lévy processes for asset price modelling. Journal of Banking & Finance 26 (7), pp. 1297-1316. ISSN 0378-4266.
Abstract
The goal of the paper is to show that some types of Lévy processes such as the hyperbolic motion and the CGMY are particularly suitable for asset price modelling and option pricing. We wish to review some fundamental mathematic properties of Lévy distributions, such as the one of infinite divisibility, and how they translate observed features of asset price returns. We explain how these processes are related to Brownian motion, the central process in finance, through stochastic time changes which can in turn be interpreted as a measure of the economic activity. Lastly, we focus on two particular classes of pure jump Lévy processes, the generalized hyperbolic model and the CGMY models, and report on the goodness of fit obtained both on stock prices and option prices.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 09 Jun 2020 08:38 |
| Last Modified: | 02 Aug 2023 18:00 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32196 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
