Multi-Factor Levy Models : Change of Time and Pricing of Financial and Energy Derivatives

We consider multi-factor Levy models based on SDEs driven by alpha-stable Levy processes.Using change of time method for Levy-based stochastic integrals we show how to pricing many of financial and energy derivatives

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Year of publication:	[2014]
Authors:	Swishchuk, Anatoliy V.
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (76 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 3, 2008 erstellt
Other identifiers:	10.2139/ssrn.1322534 [DOI]
Classification:	E3 - Prices, Business Fluctuations, and Cycles ; C5 - Econometric Modeling
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012708572