3 papers
q-fin.MF2026
Discrete dividends after maturity adjust the stock and strike prices
Kevin W. Lu
The standard method to price European calls on a discrete dividend-paying stock is to subtract the present value of the dividends from the initial stock price in the Black-Scholes…
math.ST2020
Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
Kevin W. Lu
Consider a multivariate Lévy-driven Ornstein-Uhlenbeck process where the stationary distribution or background driving Lévy process is from a parametric family. We derive the likel…
math.PR2020
Necessity of weak subordination for some strongly subordinated Lévy processes
Boris Buchmann, Kevin W. Lu
Consider the strong subordination of a multivariate Lévy process with a multivariate subordinator. If the subordinate is a stack of independent Lévy processes and the components of…