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drift switching
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V.
- In:
Journal of Risk and Financial Management
15
(
2022
)
1
,
pp. 1-27
density function and the
lower
partial
expectation
for the considered process in closed forms. The results are applied to the …
Persistent link: https://www.econbiz.de/10013201326
Saved in:
2
The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V.
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-27
density function and the
lower
partial
expectation
for the considered process in closed forms. The results are applied to the …
Persistent link: https://www.econbiz.de/10012813564
Saved in:
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