Search Results - subject:"Characteristic Function"

Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity

Jang, Jiwook; Park, Jong Jun; Jang, Hyun Jin - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10011956976

Accurate pricing of swaptions via lower bound

Gambaro, Anna Maria; Caldana, Ruggero; Fusai, Gianluca - In: Handbook of recent advances in commodity and financial …, (pp. 183-208). 2018

Persistent link: https://www.econbiz.de/10011898636

Quanto pricing in stochastic correlation models

Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-20

Persistent link: https://www.econbiz.de/10011903766

Some further results on the tempered multistable approach

Le Courtois, Olivier - In: Asia-Pacific financial markets 25 (2018) 2, pp. 87-109

Persistent link: https://www.econbiz.de/10012032996

Estimation of dynamic mixed hitting time model using characteristic function based moments

Purwono, Yogo; Irwan Adi Ekaputra; Husodo, Zaäfri Ananto - In: Computational economics 51 (2018) 2, pp. 295-321

Persistent link: https://www.econbiz.de/10011963671

Parliamentary coalitions, an n-person game approach to politics

Fountas, Ioannis E.; Kampisioulis, Panagiotis K.; … - In: SPOUDAI - Journal of Economics and Business 62 (2012) 3/4, pp. 16-29

coalitions. Same basic data about the coalition form and the characteristic function is necessary in order to connect n …

Persistent link: https://www.econbiz.de/10010343122

Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models

Tsionas, Mike - Volkswirtschaftliche Fakultät, … - 2012

-scale mixtures and (ii) versions of approximate Bayesian computation (ABC) using the characteristic function and the asymptotic form …

Persistent link: https://www.econbiz.de/10011258174

Fourier--type estimation of the power garch model with stable--paretian innovations

Francq, Christian; Meintanis, Simos - Volkswirtschaftliche Fakultät, … - 2012

structure of the conditional characteristic function of the observations driven by these models we propose minimum distance … estimation based on the empirical characteristic function of corresponding residuals. Consistency of the estimators is proved …

Persistent link: https://www.econbiz.de/10011113582

Parliamentary Coalitions, An n-person Game Approach to Politics

Fountas, Ioannis E.; Kampisioulis, Panagiotis K.; … - In: SPOUDAI Journal of Economics and Business 62 (2012) 3-4, pp. 16-29

coalitions. Same basic data about the coalition form and the characteristic function is necessary in order to connect n …

Persistent link: https://www.econbiz.de/10010854584

Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model

Zhylyevskyy, Oleksandr - Department of Economics, Iowa State University - 2012

the characteristic function of the underlying stock's log-price and by exploiting the characteristic function's symmetry …. The value of a European-style call is computed using a parity relationship. The required characteristic function is …

Persistent link: https://www.econbiz.de/10009421255

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