A moment-matching method to generate arbitrage-free scenarios
Year of publication: |
2015
|
---|---|
Authors: | Staino, Alessandro ; Russo, Emilio |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 246.2015, 2 (16.10.), p. 619-630
|
Subject: | Scenarios | Monomial method | Moment-matching | Szenariotechnik | Scenario analysis | Theorie | Theory |
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