Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Farzad Alavi Fard; Tak Kuen Siu
| Year of publication: |
2013
|
|---|---|
| Authors: | Fard, Farzad Alavi ; Siu, Tak Kuen |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 712-721
|
| Subject: | Participating products | Generalized jump-diffusion model | Markov-switching compensator | Esscher transform | Reduction of dimensionality | Collocation method | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227894