Local prelimit theorems and their applications to finance

L. B. Klebanov; S. T. Rachev; M. Safarian

doi:10.1016/S0893-9659(00)00036-7

Local prelimit theorems and their applications to finance

L. B. Klebanov, S. T. Rachev, M. Safarian

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

We derive a new type of "prelimit" theorems for sums of random number of random variables. As an application, we show that the distribution of asset returns can be approximated by truncated Lévy flights.

Original language	English
Pages (from-to)	73-78
Number of pages	6
Journal	Applied Mathematics Letters
Volume	13
Issue number	5
DOIs	https://doi.org/10.1016/S0893-9659(00)00036-7
State	Published - Jul 2000

Keywords

Prelimiting behavior of financial returns
Stable and ν-stable laws

Access to Document

10.1016/S0893-9659(00)00036-7

Cite this

@article{9a1c8a97c9c54ea4a060d4922040460f,

title = "Local prelimit theorems and their applications to finance",

abstract = "We derive a new type of {"}prelimit{"} theorems for sums of random number of random variables. As an application, we show that the distribution of asset returns can be approximated by truncated L{\'e}vy flights.",

keywords = "Prelimiting behavior of financial returns, Stable and ν-stable laws",

author = "Klebanov, {L. B.} and Rachev, {S. T.} and M. Safarian",

year = "2000",

month = jul,

doi = "10.1016/S0893-9659(00)00036-7",

language = "English",

volume = "13",

pages = "73--78",

journal = "Applied Mathematics Letters",

issn = "0893-9659",

number = "5",

}

TY - JOUR

T1 - Local prelimit theorems and their applications to finance

AU - Klebanov, L. B.

AU - Rachev, S. T.

AU - Safarian, M.

PY - 2000/7

Y1 - 2000/7

N2 - We derive a new type of "prelimit" theorems for sums of random number of random variables. As an application, we show that the distribution of asset returns can be approximated by truncated Lévy flights.

AB - We derive a new type of "prelimit" theorems for sums of random number of random variables. As an application, we show that the distribution of asset returns can be approximated by truncated Lévy flights.

KW - Prelimiting behavior of financial returns

KW - Stable and ν-stable laws

UR - http://www.scopus.com/inward/record.url?scp=14244269319&partnerID=8YFLogxK

U2 - 10.1016/S0893-9659(00)00036-7

DO - 10.1016/S0893-9659(00)00036-7

M3 - Article

AN - SCOPUS:14244269319

SN - 0893-9659

VL - 13

SP - 73

EP - 78

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

IS - 5

ER -

Local prelimit theorems and their applications to finance

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this