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Lévy processes in finance: a remedy to the non-stationarity of continuous martingales |
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| Authors: | Boris Leblanc Marc Yor |
| Institution: | (1) Ingenierie Options G.I.E./Groupe BNP, Université Paris VII, 13, rue La Fayette, F-75009 Paris, France (e-mail: boris@bnp-eng.remcomp.com) , FR;(2) Université Paris VI, Laboratoire de Probabilités, Tour 56, 4 place Jussieu, F-75252 Paris Cedex 05, France (e-mail: secret@proba.jussieu.fr) , FR |
| Abstract: | |
| Keywords: | :Levy processes martingales with stationary increments forward-start-options JEL classification: G13 Mathematics Subject Classification (1991):90A09 60J60 60H30 |
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