search query: @indexterm ASSET VALUATION / total: 357
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| Author: | Geman, H. |
| Title: | Pure jump Levy processes for asset price modelling |
| Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1297-1316 |
| Index terms: | Stochastic processes Asset valuation Option prices Value-at-risk |
| Freeterms: | Quadratic variation |
| Language: | eng |
| Abstract: | The goal of the paper is to show that some types of Lévy processes such as the hyperbolic motion and the CGMY are particularly suitable for asset price modelling and option pricing. The author explains how the processes are related to Brownian motion, the central process in finance, through stochastic time changes which can in turn be interpreted as a measure of the economic activity. |
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