What is the natural scale for a Lévy process in modelling term structure of interest rates?

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This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a Lévy process is a "natural" scale for the process to be the state variable of a market.

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Probability, Computational Finance, 91B70, 60G52

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http://salesiana.dossiersoluciones.com/handle/123456789/210192

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0612341
 http://arxiv.org/abs/math/0612341

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arXiv