2 papers
q-fin.PR2007
Pricing Equity Default Swaps under an approximation to the CGMY Lé% vy Model
Soeren Asmussen, Dilip Madan, Martijn Pistorius
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first pas…
math.PR2006
CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
Dilip Madan, Marc Yor
We describe the CGMY and Meixner processes as time changed Brownian motions. The CGMY uses a time change absolutely continuous with respect to the one-sided stable subordin…