A moment-matching method to generate arbitrage-free scenarios
Alessandro Staino; Emilio Russo
| 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 | Theorie | Theory | Szenariotechnik | Scenario analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011338769