Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity-Reference-Cited by-同舟云学术

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Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity

Published:2018-12 Issue:12 Volume:128 Page:4207-4245
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Figueroa-López José E.,Luo Yankeng

Funder

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference23 articles.

1. Lévy Processes and Stochastic Calculus;Applebaum,2009

2. Malliavin Calculus for Processes with Jumps;Bichteler,1987

3. Point Processes and Queues: Martingale Dynamics;Brémaud,1981

4. Saddlepoint methods for option pricing;Carr;J. Comput. Finance,2009

5. Introduction To Stochastic Processes;Çinlar,1975

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1. Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid;Electronic Journal of Probability;2020-01-01

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