Basic Results on Lévy Processes

By Ken-iti Sato. 2001

49 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/7cbaa061ef1efbf54667502131014e96708e073b

Citations in the corpus

• Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “For more background information on these processes we point you to [13,30] for the usage of Lévy processes in a financial context and to [29] for a detailed analysis of Lévy processes in general.”