Selfsimilar Additive Processes and Stationary Ornstein–Uhlenbeck Type Processes
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-030-22700-5_3
Reference20 articles.
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2. Eberlein, E., Eberlein, E. & Madan, D. B. Madan, D.B. (2009). Sato processes and the valuation of structured products. Quantitative Finance, 9, 1, 27–42.
3. Jeanblanc, M. Jeanblanc, M. , Pitman, J., Pitman, J. & Yor, M. Yor, M. (2002). Self-similar processes with independent increments associated with Lévy and Bessel processes. Stochastic Processes and their Applications, 100, 223–231.
4. Kokholm, T., Kokholm, T. & Nicolato, E. Nicolato, E. (2010). Sato processes in default modelling. Applied Mathematical Finance, 17(5), 377–397.
5. Kyprianou, A. E. Kyprianou, A.E. (2014). Fluctuations of Lévy processes with applications (2nd ed.). Berlin: Springer.
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