The Meixner Process
The Meixner Process
This Demonstration shows a path of the (extended) Meixner process with four parameters and a cross-sectional ("marginal") density function of the process at a chosen moment in time. The kurtosis and skewness of the density at the given time are also displayed. The Meixner process is a pure-jump Lévy process with semi-heavy tails, which has been used successfully for stock price modelling and valuing derivative instruments. The Demonstration makes use of Mathematica 8's ability to generate random variates when an explicit formula for the probability density function is given.