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Search: subject:"MEMM"
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MEMM
3
CGMY
1
Compound Poisson
1
Esscher transform
1
European and Asian option
1
Hidden Markov chain model
1
Iteration and Newton method
1
MCMC
1
Meixner process
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Mixture model
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NIG
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Option pricing
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Participating products
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Regime switching
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Stable
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Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
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VG
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stochastic volatility
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Chan, Leunglung
1
Elliott, Robert J.
1
Fard, Farzad Alavi
1
Fujisaki, Masatoshi
1
Hoek, John van der
1
Shanahan, Brett
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Siu, Tak Kuen
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Zhang, Dewei
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Annals of Finance
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Asia-Pacific Financial Markets
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Scandinavian actuarial journal
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ECONIS (ZBW)
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Pricing participating policies under the Meixner process and stochastic volatility
Shanahan, Brett
;
Fard, Farzad Alavi
;
Hoek, John van der
- In:
Scandinavian actuarial journal
(
2017
)
7
,
pp. 559-583
Persistent link: https://www.econbiz.de/10011848474
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2
Evaluation of the
MEMM
, Parameter Estimation and Option Pricing for Geometric Lévy Processes
Fujisaki, Masatoshi
;
Zhang, Dewei
- In:
Asia-Pacific Financial Markets
16
(
2009
)
2
,
pp. 111-139
Persistent link: https://www.econbiz.de/10005016396
Saved in:
3
Option pricing and Esscher transform under regime switching
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
Annals of Finance
1
(
2005
)
4
,
pp. 423-432
Persistent link: https://www.econbiz.de/10005808845
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