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Modelling Stock Returns with Lévy Processes

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  • Olivier Le Courtois

    (EM - EMLyon Business School)

Abstract

Au cours des dernières années, plusieurs approches visant à modéliser les rendements des actions par des processus de Lévy ont été proposées. Dans un premier temps, notre article passe en revue ces différentes approches et s'intéresse notamment à une analyse partant de la mesure de Lévy. Dans un second temps, une paramétrisation simple et nouvelle de la mesure de Lévy est introduite et permet d'obtenir une nouvelle classe de processus de Lévy utilisable dans un contexte financier. Ces processus, que nous appelons processus de Lévy a-b, permettent de prendre en compte des taux d'arrivée excessifs de sauts de taille moyenne, ceci en correspondance avec la possibilité d'observer des distributions de rendements bossées aux courtes échelles de temps.

Suggested Citation

  • Olivier Le Courtois, 2003. "Modelling Stock Returns with Lévy Processes," Post-Print hal-02312849, HAL.
    • Handle: RePEc:hal:journl:hal-02312849
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