6 papers
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…
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…
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…
Calibration for Weak Variance-Alpha-Gamma Processes
Boris Buchmann, Kevin W. Lu, Dilip B. Madan
The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma su…
Selfdecomposability of Weak Variance Generalised Gamma Convolutions
Boris Buchmann, Kevin W. Lu, Dilip B. Madan
Weak variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we extend a res…
Weak Subordination of Multivariate Lévy Processes and Variance Generalised Gamma Convolutions
Boris Buchmann, Kevin Lu, Dilip B. Madan
Subordinating a multivariate Lévy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Lévy process, provided the subordinator an…