Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Søren Asmussen and Mogens Bladt

Year of publication:	2022
Authors:	Asmussen, Søren ; Bladt, Mogens
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://ebvufind01.dmz1.zbw.eu/10013367850