Processus de Lévy en Finance - Laboratoire de Probabilités et ...

200 INDEX
tightness, 40
levycalibration (computer program), 95, 119
margins
of a grounded function, 142
of a Lévy measure, 139
of a Lévy process, 138
of a tail integral, 147
of a volume function, 144
Merton model, 44, 60
minimal entropy martingale measure, 72
consistent, 75
Monte-Carlo method, 182
vega, 113
volume function, 144
weighted Monte Carlo, 77
neutral derivative pricing, 74
normal inverse Gaussian process, 46
ordered set, 140
prior Lévy process, 99
regularization parameter, 102
relative entropy, 70
stochastic exponential, 36
martingale preserving property, 37
strictly ordered set, 140
subordinated Brownian motion, 48
tail integral, 147, 152
tempered stable process, 46
truncation function, 34
utility indifference price, 73
variance gamma process, 46, 69, 122, 182