Time consistency of Levy models

被引：28

作者：

Eberlein, E

Özkan, F

机构：

[1] Univ Freiburg, Dept Math Stochast, D-79104 Freiburg, Germany

[2] Univ Freiburg, Freiburg Ctr Data Anal & Modelling, D-79104 Freiburg, Germany

来源：

QUANTITATIVE FINANCE | 2003年 / 3卷 / 01期

关键词：

D O I：

10.1088/1469-7688/3/1/304

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Time consistency of the models used is an important ingredient to improve risk management. The empirical investigation in this article gives evidence for some models driven by Levy processes to be highly consistent. This means that they provide a good statistical fit of empirical distributions of returns not only on the timescale used for calibration but on various other timescales as well. As a result these models produce more reliable risk numbers and derivative prices.

引用

页码：40 / 50

页数：11

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