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Time Changes for Lévy Processes


  • Hélyette Geman
  • Dilip B. Madan
  • Marc Yor


The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite arrival rate of jumps as models for the logarithm of asset prices. These processes may be written as time‐changed Brownian motion. We exhibit the explicit time change for each of a wide class of Lévy processes and show that the time change is a weighted price move measure of time. Additionally, we present a number of Lévy processes that are analytically tractable, in their characteristic functions and Lévy densities, and hence are relevant for option pricing.

Suggested Citation

  • Hélyette Geman & Dilip B. Madan & Marc Yor, 2001. "Time Changes for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 79-96, January.
  • Handle: RePEc:bla:mathfi:v:11:y:2001:i:1:p:79-96
    DOI: 10.1111/1467-9965.00108

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