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L\'evy Processes For Finance: An Introduction In R

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  • D. J. Manuge

Abstract

This brief manuscript provides an introduction to L\'evy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular L\'evy processes are presented in R.

Suggested Citation

  • D. J. Manuge, 2015. "L\'evy Processes For Finance: An Introduction In R," Papers 1503.03902, arXiv.org.
    • Handle: RePEc:arx:papers:1503.03902
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    References listed on IDEAS

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