Frailty models based on Lévy processes
نویسندگان
چکیده
منابع مشابه
On Lévy processes, Malliavin calculus and market models with jumps
Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Lévy processes has been proved, has enabled us to develop a Malliavin calculus for Lévy processes. For simple Lévy processes some useful formulas for computing Malliavin derivatives are deduced. Applications for option hedging in a jump–diffusion model are given.
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2003
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800012362