General Geometric Levy Processes For Asset Prices Modelling

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Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi
Volume:19 Issue:1
General Geometric Levy Processes For Asset Prices Modelling

General Geometric Levy Processes For Asset Prices Modelling

Authors : Ömer ÖNALAN

Pages : 173-180

View : 211 | Download : 21

Publication Date : 2014-03-03

Article Type : Research Paper

Abstract :In this study, the stock prices process is modelled by stochastic differential equation driven by a general Lévy process. We review some fundemental mathematics proporties of Lévy distribution.
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