The Meixner process : theory and applications in finance

By Wim Schoutens. 2002

54 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d29cf3a2206092887b490e6a8d1601138f25c0d6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. José Santiago Fajardo
2. Hansjörg Albrecher *
3. Antonis Papapantoleon
4. Jan Dhaene
5. Marc J. Goovaerts
6. Ernesto Mordecki
7. Wim Schoutens
8. Andreas E. Kyprianou

Citations in the corpus

• Static Hedging of Asian Options under Lévy Models (2005, background): “This application in flnance was worked out in [34] and [ 35 ].”
• An introduction to Lévy processes with applications in finance (2008, methodology): “The Meixner process was introduced by Schoutens and Teugels (1998), see also Schoutens (2002). Let L = (Lt)0≤t≤T be a Meixner process with Law(H1|P ) = Meixner(α, β, δ), α > 0, −π < β < π, δ > 0, then the density is”
• Symmetry and duality in Lévy markets (2006, methodology): “The Meixner process was proposed to model financial data by Grigelionis (1999) and by Schoutens (2002).”