Search Results - subject:"Lévy Process"

Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin

Locas, Félix; Renaud, Jean-François - In: Insurance : mathematics and economics 120 (2025), pp. 189-206

Persistent link: https://www.econbiz.de/10015431895

On the multi-periodic threshold strategy for the spectrally negative Lévy risk model

Shen, Sijia; Yu, Zijing; Liu, Zhang - In: Risks : open access journal 13 (2025) 9, pp. 1-28

As a crucial modeling tool for stochastic financial markets, the Lévy risk model effectively characterizes the evolution of risks during enterprise operations. Through dynamic evaluation and quantitative analysis of risk indicators under specific dividend- distribution strategies, this model...

Persistent link: https://www.econbiz.de/10015467310

Efficient evaluation of expectations of functions of a Lévy process and its extremum

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Finance and stochastics 29 (2025) 2, pp. 443-468

Persistent link: https://www.econbiz.de/10015394806

Cramér-Lundberg asymptotics for spectrally positive Markov additive processes

Kreveld, Lucas van; Mandjes, Michel; Dorsman, Jan-Pieter - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 561-582

Persistent link: https://www.econbiz.de/10015052470

An excursion theoretic approach to Parisian ruin problem

Li, Bo; Zhou, Xiaowen - In: Insurance : mathematics and economics 118 (2024), pp. 44-58

Persistent link: https://www.econbiz.de/10015066997

Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-28

c3;2; and the VG process converges asymptotically in distribution to a Lévy process driven by a normal distribution with …

Persistent link: https://www.econbiz.de/10014332830

Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28

; and the VG process converges asymptotically in distribution to a Lévy process driven by a normal distribution with mean (μ …

Persistent link: https://www.econbiz.de/10014288862

Multi-population mortality modeling with Lévy processes

Jevtić, Petar; Qin, Chengwei; Zhou, Hongjuan - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 583-609

Persistent link: https://www.econbiz.de/10014443756

Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework

Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230

Persistent link: https://www.econbiz.de/10015051244

A Fourier cosine expansion method for pricing FX-TARN under Lévy processes

Tong, Kevin Z. - In: Quantitative finance and economics 7 (2023) 2, pp. 261-286

Persistent link: https://www.econbiz.de/10015120993