Abstract
We extend the Lévy-Khintchine representation for an infinitely divisible distribution to define a driving process in the context of the bond price framework developed earlier. We describe a methodology using subordination to construct such processes and we develop some examples in detail. COPYRIGHT 2006 EUDOXUS PRESS,LLC.
| Original language | English |
|---|---|
| Pages (from-to) | 335-356 |
| Number of pages | 22 |
| Journal | Journal of Computational Analysis and Applications |
| Volume | 8 |
| Issue number | 4 |
| State | Published - 2006 |
Keywords
- Finance
- Processes with independent increments
- Semimartingales