Geman, Hélyette (2001) Time changes for lévy processes. Mathematical Finance 11 (1), pp. 79-96. ISSN 0960-1627.
Abstract
The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite arrival rate of jumps as models for the logarithm of asset prices. These processes may be written as time‐changed Brownian motion. We exhibit the explicit time change for each of a wide class of Lévy processes and show that the time change is a weighted price move measure of time. Additionally, we present a number of Lévy processes that are analytically tractable, in their characteristic functions and Lévy densities, and hence are relevant for option pricing.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Science > School of Computing and Mathematical Sciences |
| Depositing User: | Sarah Hall |
| Date Deposited: | 15 Jun 2020 10:35 |
| Last Modified: | 09 Aug 2023 12:48 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32249 |
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