Financial Modeling and Option Theory with the Truncated Levy Process

@article{Matacz1997FinancialMA,
  title={Financial Modeling and Option Theory with the Truncated Levy Process},
  author={A. Matacz},
  journal={The Finance},
  year={1997}
}
  • A. Matacz
  • Published 1997
  • Mathematics, Physics, Economics
  • The Finance
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at longer timescales. I further test the truncated Levy paradigm using high frequency data from the Australian All Ordinaries share market index. I then consider, for the early Levy… Expand
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