Chapter 5. Lévy Processes and OU Processes

  1. Wim Schoutens

Published Online: 1 SEP 2003

DOI: 10.1002/0470870230.ch5

Lévy Processes in Finance: Pricing Financial Derivatives

Lévy Processes in Finance: Pricing Financial Derivatives

How to Cite

Schoutens, W. (2003) Lévy Processes and OU Processes, in Lévy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470870230.ch5

Author Information

  1. Katholieke Universiteit Leuven, Belgium

Publication History

  1. Published Online: 1 SEP 2003
  2. Published Print: 25 MAR 2003

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470851562

Online ISBN: 9780470870235

SEARCH

Summary

This chapter contains sections titled:

  • Lévy Processes

    • Definition

    • Properties

  • OU Processes

    • Self-decomposability

    • OU Processes

  • Examples of Lévy Processes

    • The Poisson Process

    • The Compound Poisson Process

    • The Gamma Process

    • The Inverse Gaussian Process

    • The Generalized Inverse Gaussian Process

    • The Tempered Stable Process

    • The Variance Gamma Process

    • The Normal Inverse Gaussian Process

    • The CGMY Process

    • The Meixner Process

    • The Generalized Hyperbolic Process

  • Adding an Additional Drift Term

  • Examples of OU Processes

    • The Gamma–OU Process

    • The IG–OU Process

    • Other Examples