Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Year of publication: |
2021
|
---|---|
Authors: | Brignone, Riccardo ; Kyriakou, Ioannis ; Fusai, Gianluca |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 232-247
|
Subject: | Mean reversion | Non-Gaussian processes | Moment-matching | Asian option valuation | Stochastic annuities | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Mean Reversion | Statistische Verteilung | Statistical distribution |
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