… Here we generate the value of the general claim under a Lévy processes as … T X is some
Lévy process satisfying [ … For Lévy processes, the important role of the characteristic functions …

… such Lévy jumps in the asset returns in the following framework. Although a Lévy process
itself often encompasses a diffusion component, we set in this paper a pure Lévy jump process …

… Lévy exponent of the Lévy process bt. The second term is the Lévy exponent of the Lévy
process … ^{T}\)are d − independent Wiener processes and Σ is a d×dlower triangular matrix in the …

… only jump-diffusions driven by symmetric α -stable non-Gaussian Lévy processes in this …
expect to hold for jump-diffusions driven by more general Lévy processes with generating triplet …

… estimation of Lévy measures for multidimensional jump-diffusion models from some … jump
term is driven by a Lévy process with finite Lévy measure, that is, a compound Poisson process…

… consider pure jump Lévy processes of finite variation with an infinite arrival rate of jumps as
… We note in this regard that many of the classsical jump diffusion models employ a Gaussian …

… show that some types of Lévy processes such as the hyperbolic … fundamental mathematic
properties of Lévy distributions, such … a is called the drift of the Lévy process, θ is the diffusion …

… in Lévy processes and many new developments. The basic properties of Lévy processes …
, for example, the classical monograph Random Processes with Independent Increments by AV …

… that prices don’t follow a diffusion process and actually jump. This thesis deals with the
study of Levy processes for option pricing. Levy processes are an active field of research in …

… the diffusion component is nondegenerate: for a Lévy process this simply means σ > 0, but
more generally these results apply to jump diffusion where the diffusion … are pure jump models …