Stochastic jump intensity models
P.E. Lévy dit Véhel and J. Lévy Véhel
| Year of publication: |
2018
|
|---|---|
| Authors: | Lévy Dit Véhel, Pierre-Emmanuel ; Lévy Véhel, Jacques |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 1/2, p. 63-75
|
| Subject: | Tempered stable processes | CGMY model | stochastic jump intensity | risk management | VaR | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-180139 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945650