Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Riccardo Brignone, Ioannis Kyriakou, Gianluca Fusai
| 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 | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482885