Meixner Process

The Meixner Process: Theory and Applications in Fi female monarch Wim Schoutens K.U.Leuven Celestijnenlaan 200 B B-3001 Leuven Belgium February 12, 2002 1  filch The Meixner mental summons is a special type of L´vy growth which origie nates from the system of orthogonal polynomials. It is related to the Meixner-Pollaczek polynomials by a martingale relation. We talk about several properties of the Meixner process. We apply the Meixner process to ?nancial info. First, we battle arrays that the ruler dispersion is a very little model to ?t log-returns of ?nancial assets resembling stocks or indices. In fiat to achieve a break dance ?t we replace the prescript distribution by the to a greater extent than sophisticated Meixner distribution, taking into account, skewness and excess kurtosis. We show that the underlie Meixner distribution allows a such(prenominal) better ?t to the data by performing a number of statistical tests. Secondly, we interpose stock price models base on the Meixner process in order to price ?nancial derivatives. A ?rst signi? mucklet utility can be achieved with respect to the noteworthy Black-Scholes model (BS-model) by replacement its Brownian motion by the more ?exible Meixner process. However, there let slay is a discrepancy between market and theoretical prices.

The of signification feature which these L´vy models be missing is the fact that petulance or more e generally the environment is dynamic stochastically over sentence. By making business era stochastic, an idea which was developed in [9], one can subside these stochastic volatility e?ects. The resulting option prices can be calibrated almost utterly to empirical prices. 2 1 Introduction Financial maths has recently enjoyed considerable prestige on account of its pay off upon on the ?nance industry. In parallel, the theory of L´vy processes e has also seen exciting developments in recent years [2] [4] [26]. The atomic fusion of these two ?elds of mathematics has provided new applied copy perspectives inside the context of ?nance and further...If you want to get a expert essay, order it on our website: Ordercustompaper.com

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