On the modelling of nested risk-neutral stochastic processes with applications in insurance
S. N. Singor, A. Boer, J. S. C. Alberts and C. W. Oosterlee
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Singor, S. N. ; Boer, A. ; Alberts, J. S. C. ; Oosterlee, Cornelis Willebrordus |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 3/4, p. 302-336
|
| Subject: | State Space Hidden Markov | nested simulations | risk-neutral valuation | robust calibration | Heston | solvency II | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Simulation | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Versicherung | Insurance | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1378583 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011815235