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An actuarial approach to option pricing under the physical measure and without market assumptions
Bladt, Mogens; Rydberg, Tina Hviid - In: Insurance / Mathematics & economics 22 (1998) 1, pp. 65-74
Persistent link: https://www.econbiz.de/10006919612
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The estimation of phase-type related functionals using Markov chain Monte Carlo methods
Bladt, Mogens; Gonzalez, Antonio; Lauritzen, Steffen L. - In: Scandinavian actuarial journal : Actuarial Society of … (2003) 4, pp. 280-300
Persistent link: https://www.econbiz.de/10005929926
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The estimation of phase-type related functionals using Markov chain Monte Carlo methods
Bladt, Mogens; Gonzalez, Antonio; Lauritzen, Steffen L. - In: Scandinavian actuarial journal : Actuarial Society of … 107 (2003) 4, pp. 280-300
Persistent link: https://www.econbiz.de/10005931380
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A Review on Phase-Type Distributions and Their Use in Risk Theory
Bladt, Mogens - In: Astin bulletin : the journal of the International … 35 (2005) 1, pp. 145-162
Persistent link: https://www.econbiz.de/10008214039
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DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
Larsen, Kristianstegenborg; Sørensen, Michael - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 285-306
Persistent link: https://www.econbiz.de/10008221954
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Curved exponential families of stochastic processes and their envelope families
Küchler, Uwe; Sørensen, Michael - In: Annals of the Institute of Statistical Mathematics : AISM 48 (1996) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10007325887