Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Søren Asmussen and Mogens Bladt
| Year of publication: |
2022
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|---|---|
| Authors: | Asmussen, Søren ; Bladt, Mogens |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 4, p. 675-689
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| Subject: | Bell polynomials | CGMY process | Cumulants | European call option | Faà di Bruno's formula | Integrated CIR process | Markov additive process | Markov-modulation | Matrix-exponentials | Normal inverse Gaussian distribution | Risk neutrality | Tempered stable distribution | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Markov-Kette | Markov chain | Wahrscheinlichkeitsrechnung | Probability theory | Risikoneutralität |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1998585 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367850