A general framework for time-changed Markov processes and applications
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
| Year of publication: |
2019
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|---|---|
| Authors: | Cui, Zhenyu ; Kirkby, J. Lars ; Nguyen, Duy |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 273.2019, 2 (1.3.), p. 785-800
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| Subject: | Finance | Time change | Markov process | Option pricing | Continuous-time Markov chain | Subordination | Variance swaps | Bermudan options | Laplace Transform | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Swap | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.08.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987591